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Centre for Analytical Finance <Århus>
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Optimal residual based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
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contributor
)
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2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702310
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2
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
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contributor
)
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2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
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3
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
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4
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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5
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
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6
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
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2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
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7
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
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2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
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8
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
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2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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9
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
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10
Volatility-spillover effects in European bond markets
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838842
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