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Search: subject:"ARCH model"
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ARCH model
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Giot, Pierre
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CORE discussion paper : DP
Econometric theory
The journal of futures markets
29
Journal of empirical finance
19
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17
Journal of banking & finance
17
Applied economics
16
Journal of international financial markets, institutions & money
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15
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of forecasting
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1
Dynamic asset correlations based on vines
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric theory
35
(
2019
)
1
,
pp. 167-197
Persistent link: https://www.econbiz.de/10012146127
Saved in:
2
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2009
Persistent link: https://www.econbiz.de/10003850942
Saved in:
3
The information content of implied volatility indexes for forecasting volatility and market risk
Giot, Pierre
-
2003
Persistent link: https://www.econbiz.de/10001791288
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4
The information content of implied volatility in agricultural commodity markets
Giot, Pierre
-
2002
Persistent link: https://www.econbiz.de/10001696228
Saved in:
5
Value-at-risk for long and short trading positions
Giot, Pierre
;
Laurent, Sébastien
-
2001
Persistent link: https://www.econbiz.de/10001596369
Saved in:
6
Intraday value-at-risk
Giot, Pierre
-
2000
Persistent link: https://www.econbiz.de/10001529425
Saved in:
7
Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc
;
Bos, Charles S.
;
Dijk, Herman K. van
-
1999
Persistent link: https://www.econbiz.de/10001430824
Saved in:
8
Time transformations, intraday data and volatility models
Giot, Pierre
-
1999
Persistent link: https://www.econbiz.de/10001430828
Saved in:
9
Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua
- In:
Econometric theory
20
(
2004
)
3
,
pp. 563-596
Persistent link: https://www.econbiz.de/10002068275
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