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Estimation theory
ARCH-Modell
41
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40
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29
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28
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23
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23
1)
21
GARCH (1,1)
18
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6
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stock returns
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GARCH (1, 1)
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GARCH (1,1) model
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ECONIS (ZBW)
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1
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse
Allen, David E.
;
McAleer, Michael
- In:
Risks : open access journal
8
(
2020
)
1/12
,
pp. 1-20
Heteroscedasticity (
GARCH
) (
1
,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV …
Persistent link: https://www.econbiz.de/10012203997
Saved in:
2
A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation
Hwang, Eunju
;
Hong, Wontack
- In:
Economics letters
203
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012607334
Saved in:
3
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:
4
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
5
Effect of petroleum product prices on Thailand's economic growth
Boonyasana, Kwanruetai
- In:
International journal of economic policy in emerging …
11
(
2018
)
1/2
,
pp. 40-48
Persistent link: https://www.econbiz.de/10011860961
Saved in:
6
Initial margin model sensitivity analysis and volatility estimation
Houllier, Melanie
;
Murphy, David
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 77-103
Persistent link: https://www.econbiz.de/10011729235
Saved in:
7
Least-squares estimation of
GARCH
(
1
,1) models with heavy-tailed errors
Preminger, Arie
;
Storti, Giuseppe
- In:
The econometrics journal
20
(
2017
)
2
,
pp. 221-258
Persistent link: https://www.econbiz.de/10011757387
Saved in:
8
Efficiency of emerging and emerged capital markets : an empirical study on BRICS and G7 nations
Babu, M.
;
Hariharan, C.
;
Srinivasan, S.
- In:
Research bulletin / The Institute of Cost Accountants …
42
(
2016
)
1
,
pp. 61-77
Persistent link: https://www.econbiz.de/10011621671
Saved in:
9
The derivation of the NPV variance of a risky capital investment project with first-order autoregressive cash flows and autoregressive conditional heteroscedastic variances
Paquin, Jean-Paul
;
Charbonneau, Alain
;
Tessier, David
- In:
Applied economics
47
(
2015
)
10/12
,
pp. 1170-1186
Persistent link: https://www.econbiz.de/10010486263
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