Similar Search Results - EconBiz

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

Persistent link: https://www.econbiz.de/10009582392

Financial asset returns, direction-of-change forecasting, and volatility dynamics

Christoffersen, Peter F. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002100081

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

Modeling and forecasting realized volatility

Anderson, Torben G. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001547064

Value at Risk (VaR) models : a comparative analysis of parametric and non parametric approaches

Ajassa, Giovanni (contributor); … - 1998

Persistent link: https://www.econbiz.de/10001435254

The economic value of predicting stock index returns and volatility

Marquering, Wessel A. (contributor); … - 2000

Persistent link: https://www.econbiz.de/10001528578

Stock returns and volatility

Tabak, Benjamin Miranda (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001735572

The scarcity of effective monitors and its implications for corporate takeovers and ownership structures

Gorton, Gary (contributor); Kahl, Matthias (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001685929

A service of the