Narrow search
Showing 1 - 10 of 43
Cover Image
Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003865667
Cover Image
First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
Cover Image
On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
Cover Image
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003849502
Cover Image
Poisson autoregression
Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - 2009
Persistent link: https://www.econbiz.de/10003849524
Cover Image
Modelling the volatility-return trade-off when volatility may be nonstationary
Dahl, Christian M.; Iglesias, Emma M. - 2009
Persistent link: https://www.econbiz.de/10003911875
Cover Image
Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
Cover Image
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008746092
Cover Image
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779686
Cover Image
Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779696