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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
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Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003865667
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Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003849502
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Option pricing with asymmetric heteroskedastic normal mixture models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2010
Persistent link: https://www.econbiz.de/10008651682
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Treatment effects with many covariates and heteroskedasticity
Cattaneo, Matias D.; Jansson, Michael; Newey, Whitney K. - 2015
Persistent link: https://www.econbiz.de/10011327732
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Testing for heteroscedasticity in jumpy and noisy high-frequency data : a resampling approach
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - 2016
Persistent link: https://www.econbiz.de/10011541690
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014
Persistent link: https://www.econbiz.de/10010394614
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2016
Persistent link: https://www.econbiz.de/10011624059