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Impacts of trades in an error-correction model of quote prices
Engle, Robert F.; Patton, Andrew J. - 2000
Persistent link: https://www.econbiz.de/10001541189
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Estimation of copula models for time series of possibly different lenghts
Patton, Andrew J. - 2001
Persistent link: https://www.econbiz.de/10001637762
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Common factors in conditional distributions
Granger, C. W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2002
Persistent link: https://www.econbiz.de/10001738076
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Modelling time-varying exchange rate dependence using the conditional copula
Patton, Andrew J. - 2001
Persistent link: https://www.econbiz.de/10001591106
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Hedging options in a GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000904203
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Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10000904213
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000877913
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A test of efficiency for the S&P 500 index option market using variance forecasts
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993 - Rev
Persistent link: https://www.econbiz.de/10000877939
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Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975