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subject:"Exchange rate"
subject:"Volatilität"
~isPartOf:"Journal of mathematical finance"
~subject:"GARCH"
~subject:"Maximum likelihood estimation"
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Exchange rate
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Estimation theory
25
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Irungu, Irene W.
2
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Waititu, Antony G.
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Adewuyi, Adejumo Wahab
1
Bishwal, Jaya Prakasah Narayan
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1
Siziba, Simiso
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1
Thavaneswaran, Aerambamoorthy
1
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1
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Journal of mathematical finance
Journal of econometrics
195
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
81
Discussion paper / Tinbergen Institute
58
Economics letters
53
Econometric reviews
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CREATES research paper
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Econometric theory
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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International journal of forecasting
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Econometrics : open access journal
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Journal of the American Statistical Association : JASA
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Quantitative finance
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Journal of banking & finance
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Journal of financial econometrics
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Journal of forecasting
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Finance research letters
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NBER Working Paper
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European journal of operational research : EJOR
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International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of economics and financial issues : IJEFI
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SFB 649 discussion paper
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Journal of applied econometrics
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Journal of economic dynamics & control
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
3
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
4
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
5
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
6
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
7
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
8
The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang
;
Zhao, Dianli
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
Saved in:
9
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
10
Prediction of stock price movement using continuous time models
Sonono, Masimba E.
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
Saved in:
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