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SPEC model selection algorithm for ARCH models : an options pricing evaluation framework
Degiannakis, Stavros; Xekalaki, Evdokia - In: Applied financial economics letters 4 (2008) 4/6, pp. 419-423
Persistent link: https://www.econbiz.de/10003808239
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Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
Degiannakis, Stavros; Xekalaki, Evdokia - In: Applied financial economics letters 3 (2007) 1, pp. 31-37
Persistent link: https://www.econbiz.de/10003540138