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~language:"eng"
~person:"Allen, David E."
~person:"Rahbek, Anders"
~subject:"ARCH models"
~subject:"Scientific modelling"
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Allen, David E.
Rahbek, Anders
McAleer, Michael
29
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1
Specification tests for GARCH processes
Cavaliere, Giuseppe
;
Perera, Indeewara
;
Rahbek, Anders
-
2021
Persistent link: https://www.econbiz.de/10012627489
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2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
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3
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009545958
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4
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
5
Yet another autoregressive duration model : the ACDD model
Jeyasreedharan, Nagaratnam
;
Allen, David E.
;
Yang, Joey …
-
2008
Persistent link: https://www.econbiz.de/10003959771
Saved in:
6
Yet another ACD model : the autoregressive conditional directional duration (ACDD) model
Jeyasreedharan, Nagaratnam
;
Allen, David E.
;
Yang, Wenling
- In:
Annals of financial economics
9
(
2014
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010489145
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