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Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12
Persistent link: https://www.econbiz.de/10003301505
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Measuring half-lives : using a non-parametric bootstrap approach
Caporale, Guglielmo Maria; Cerrato, Mario; Spagnolo, Nicola - In: Applied financial economics letters 1 (2005) 1, pp. 1-4
Persistent link: https://www.econbiz.de/10002549945