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Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuowei; Shek, Howard Howan - 2010
Persistent link: https://www.econbiz.de/10003941851
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009546007
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Stock index returns' density prediction using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - 2011
Persistent link: https://www.econbiz.de/10008824705
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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
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Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779686
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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779696
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Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano; Costola, Michele - In: Applied economics 51 (2019) 31, pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
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Do product innovation and news about the R&D process produce large price changes and overreaction? : the case of pharmaceutical stock prices
Pérez Rodríguez, Jorge V.; Valcarcel, Beatriz G. L. - In: Applied economics 44 (2012) 16/18, pp. 2217-2229
Persistent link: https://www.econbiz.de/10009572751