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A new estimator of the fractionally integrated stochastic volatility model
Wright, Jonathan H. - In: Economics letters 63 (1999) 3, pp. 295-303
Persistent link: https://www.econbiz.de/10001398938
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Detecting structural changes under nonstationary volatility
Wu, Jilin - In: Economics letters 146 (2016), pp. 151-154
Persistent link: https://www.econbiz.de/10011619232
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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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An extension of stochastic volatility model with mixed frequency information
Shang, Yuhuang; Liu, Lulu - In: Economics letters 155 (2017), pp. 144-148
Persistent link: https://www.econbiz.de/10011821634
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - In: Economics letters 161 (2017), pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
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The relation between the corporate bond-yield spread and the real economy : stable or time-varying?
Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012503617
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Recursive adjusted unit root tests under non-stationary volatility
Wang, Shaoping; Li, Yanglin; Wen, Kuangyu - In: Economics letters 205 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013202963
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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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Corporate bond pricing model with stochastically volatile firm value process
Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44
Persistent link: https://www.econbiz.de/10011619792
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A bootstrap test for jumps in financial economics
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78
Persistent link: https://www.econbiz.de/10010504752