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~accessRights:"free"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Theorie"
~type_genre:"Graue Literatur"
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Search: subject:"ARCH model"
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ARCH model
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34
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14
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9
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6
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CORE discussion papers : DP
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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32
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CORE discussion paper : DP
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ECONIS (ZBW)
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1
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
-
2019
Persistent link: https://www.econbiz.de/10012215031
Saved in:
2
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
-
2018
Persistent link: https://www.econbiz.de/10011993276
Saved in:
3
A new approach to volatility modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
4
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
5
Estimation and empirical performance of non-scalar dynamic conditional correlation models
Bauwens, Luc
;
Grigoryeva, Lyudmila
;
Ortega, Juan-Pablo
-
2014
Persistent link: https://www.econbiz.de/10010385192
Saved in:
6
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
7
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009504878
Saved in:
8
Volatility models
Bauwens, Luc
;
Hafter, Christian
;
Laurent, Sébastien
-
2011
Persistent link: https://www.econbiz.de/10009390311
Saved in:
9
Commodities inventory effect
Carpantier, Jean-François
-
2010
Persistent link: https://www.econbiz.de/10008649479
Saved in:
10
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
an
ARCH
model
with regime-switching parameters in order to take into account sudden changes in the volatility. They use …
Persistent link: https://www.econbiz.de/10003326701
Saved in:
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