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Search: subject:"ARCH model"
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ARCH model
34
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14
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9
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Bauwens, Luc
14
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9
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7
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4
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3
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3
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2
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2
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2
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2
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1
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1
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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
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
-
2018
Persistent link: https://www.econbiz.de/10011993276
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
5
Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie
;
Storti, Giuseppe
-
2017
Persistent link: https://www.econbiz.de/10011990826
Saved in:
6
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
7
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
8
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
9
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:
10
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
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