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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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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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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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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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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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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