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Using asymmetric loss functions in time series econometrics
Titova, Anna - 2019
Persistent link: https://www.econbiz.de/10012021670
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Smooth transition regression models in finance
Leppin, Julian Sebastian - 2017
This thesis covers the further development of smooth transition regression models and their applications in finance. Smooth transition regression models are used to model nonlinearity of regime-switching type in empirical applications. Usually, smooth transition regression models are used with...
Persistent link: https://www.econbiz.de/10011623746
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Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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Econometric analysis of realised covariation : high frequency covariance, regression and correlation in financial economics
Barndorff-Nielsen, Ole E. (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001686826
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Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri (contributor) - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
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Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
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Finite difference computation of state-prices in termstructure models : with applications to calibration and MBS analysis
Søndergaard Rasmussen, Nicki (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724266
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Semiparametric estimation in time series regressioon with long range dependence
Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491368
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Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493