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Gram-Charlier densities
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 25 (2001) 10, pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut; Schlaak, Thore - In: Journal of economic dynamics & control 101 (2019), pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
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Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut; Milunovich, George - In: Journal of economic dynamics & control 73 (2016), pp. 241-258
Persistent link: https://www.econbiz.de/10011709107
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Unfolded GARCH models
Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217
Persistent link: https://www.econbiz.de/10011574655
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Impact of value-at-risk models on market stability
Llacay, Bàrbara; Peffer, Gilbert - In: Journal of economic dynamics & control 82 (2017), pp. 223-256
Persistent link: https://www.econbiz.de/10011915567
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
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Foreign exchange trading models and market behavior
Gençay, Ramazan; Dacorogna, Michel; Olsen, Richard; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 909-935
Persistent link: https://www.econbiz.de/10001734446
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American option pricing under GARCH by a Markov chain approximation
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1689-1718
Persistent link: https://www.econbiz.de/10001599252
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Option valuation with co.integrated asset prices
Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
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Testing conditional asymmetry : a residual-based approach
Lambert, Philippe; Laurent, Sébastien; Veredas, David - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1229-1247
Persistent link: https://www.econbiz.de/10009655696