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GARCH with omitted persistent covariate
Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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Stock exchange mergers and return co-movement : a flexible dynamic component correlations model
Hellström, Jörgen; Liu, Yuna; Sjögren, Tomas - In: Economics letters 121 (2013) 3, pp. 511-515
Persistent link: https://www.econbiz.de/10010393039
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Stock market volatility and public information flow : a non-linear perspective
Bertelsen, Kristoffer Pons; Borup, Daniel; Jakobsen, … - In: Economics letters 204 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012607808
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DSGE Models with observation-driven time-varying volatility
Angelini, Giovanni; Gorgi, Paolo - In: Economics letters 171 (2018), pp. 169-171
Persistent link: https://www.econbiz.de/10012021819
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The time-varying GARCH-in-mean model
Dias, Gustavo Fruet - In: Economics letters 157 (2017), pp. 129-132
Persistent link: https://www.econbiz.de/10011847330
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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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GARCH and irregularly spaced data
Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204
Persistent link: https://www.econbiz.de/10003275843
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On conditions in central limit theorems for martingale difference arrays
Alj, Abdelkamel; Azrak, Rajae; Mélard, Guy - In: Economics letters 123 (2014) 3, pp. 305-307
Persistent link: https://www.econbiz.de/10010401333
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The functional central limit theorem for ARMA-GARCH processes
Lee, Oesook - In: Economics letters 121 (2013) 3, pp. 432-435
Persistent link: https://www.econbiz.de/10010392236