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ARCH model
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Lunde, Asger
3
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2
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2
Tanggaard, Carsten
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Centre for Analytical Finance <Århus>
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eSocialSciences
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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
Testing the significance of calendar effects
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
Saved in:
3
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
4
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:
5
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
Saved in:
6
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
7
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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8
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
9
Volatility-spillover effects in European bond markets
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838842
Saved in:
10
A robust LR test for the GARCH model
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002069045
Saved in:
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