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~isPartOf:"Journal of empirical finance"
~person:"Cross, Jamie"
~person:"Lucas, André"
~person:"Nielsen, Morten Ørregaard"
~person:"Sucarrat, Genaro"
~subject:"Time series analysis"
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Cross, Jamie
Lucas, André
Nielsen, Morten Ørregaard
Sucarrat, Genaro
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Journal of empirical finance
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Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper
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Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 460-470
Persistent link: https://www.econbiz.de/10009267288
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2
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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