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Linear double autoregression
Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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A new hyperbolic GARCH model
Li, Muyi; Li, Wai Keung; Li, Guodong - In: Journal of econometrics 189 (2015) 2, pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung - In: Journal of econometrics 227 (2022) 1, pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of econometrics 172 (2013) 2, pp. 292-306
Persistent link: https://www.econbiz.de/10009706200
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Stationary of stable power-GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001633694