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subject:"Stochastischer Prozess"
~isPartOf:"Journal of econometrics"
~subject:"ARCH-Modell"
~subject:"Stock market"
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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2
Moving average stochastic volatility models with application to inflation forecast
Chan, Joshua C. C.
- In:
Journal of econometrics
176
(
2013
)
2
,
pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
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3
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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4
Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
Ling, Shiqing
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 849-873
Persistent link: https://www.econbiz.de/10003569985
Saved in:
5
Bayesian analysis of ARMA-GARCH models : a Markov chain sampling approach
Nakatsuma, Teruo
- In:
Journal of econometrics
95
(
2000
)
1
,
pp. 57-69
Persistent link: https://www.econbiz.de/10001432516
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