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A stochastic variance model for absolute returns
Fornari, Fabio - In: Economics letters 46 (1994) 3, pp. 211-214
Persistent link: https://www.econbiz.de/10001172371
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Weak convergence and distributional assumptions for a general class of nonlinear ARCH models
Fornari, Fabio - In: Econometric reviews 16 (1997) 2, pp. 205-227
Persistent link: https://www.econbiz.de/10001220185
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Modeling the changing asymmetry of traditional variances
Fornari, Fabio - In: Economics letters 50 (1996) 2, pp. 197-203
Persistent link: https://www.econbiz.de/10001194690