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~institution:"Centre for Analytical Finance <Århus>"
~person:"Lunde, Asger"
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ARCH model
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ARCH-Modell
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Theorie
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Volatility
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Volatilität
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1999-2000
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Capital income
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Lunde, Asger
Christensen, Bent Jesper
4
Christiansen, Charlotte
4
Strunk Hansen, Charlotte
3
Barndorff-Nielsen, Ole E.
2
Hansen, Peter Reinhard
2
Myhre Lildholt, Peter
2
Raahauge, Peter
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Shephard, Neil G.
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Tuypens, Bjorn E.
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Engsted, Tom
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Jensen, Morten Berg
1
Levendorskij, Sergej Z.
1
Mikkelsen, Peter
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Nicolato, Elisa
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Peare, Paula
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Reng Rasmussen, Anne-Sofie
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Shepard, Neil
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Shin Jensen, Malene
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Sponholtz, Carina
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Stentoft, Lars
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Svenstrup, Mikkel
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Centre for Analytical Finance <Århus>
Brown University / Department of Economics
3
School of Economics and Management, University of Aarhus
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic
volatility
model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
Saved in:
2
A comparison of
volatility
models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
3
Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of
volatility
models
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
Saved in:
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