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Stationarity and memory of ARC...
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Theorie
70
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Option pricing theory
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Barndorff-Nielsen, Ole E.
10
Sørensen, Michael
6
Lunde, Asger
5
Shephard, Neil G.
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Tanggaard, Carsten
5
Christensen, Bent Jesper
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Hansen, Peter Reinhard
4
Søndergaard Rasmussen, Nicki
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Di Miscia, Orazio
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Taulbjerg, Jes
3
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2
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2
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2
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2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Nielsen, Morten Ørregaard
2
Poulsen, Rolf
2
Raahauge, Peter
2
Rahbek, Anders
2
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2
Sørensen, Helle
2
Ørregaard Nielsen, Morten
2
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1
Bechmann, Ken L.
1
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1
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1
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1
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1
Hansen, Niels Richard
1
Hurd, T.R.
1
Jakubenas, Paulius
1
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1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
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377
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364
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302
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73
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
81
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ECONIS (ZBW)
81
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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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2
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
3
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
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4
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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5
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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6
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:
7
Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
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8
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
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9
Diffusion models for exchange rates in a target zone
Stegenborg Larsen, Kristian
(
contributor
); …
-
2003
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001767507
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10
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
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2003
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
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