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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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One-step semiparametric estimation of the GARCH model
Di, Jianing; Gangopadhyay, Ashis - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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Generalized moment tests for autoregressive conditional duration models
Chen, Yi-ting; Hsieh, Chih-sheng - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 345-391
Persistent link: https://www.econbiz.de/10003997409
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Exceedance correlation tests for financial returns
Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
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Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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Evidence on simulation inference for near unit-root processes with implications for term structure estimation
Duffee, Greg; Stanton, Richard - In: Journal of financial econometrics : official journal of … 6 (2008) 1, pp. 108-142
Persistent link: https://www.econbiz.de/10003669274
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Positivity conditions for a bivariate autoregressive volatility specification
Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 624-636
Persistent link: https://www.econbiz.de/10003570743
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
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Properties of the sample autocorrelations of nonlinear transformations in long-memory stochastic volatility models
Pérez, Ana; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 420-444
Persistent link: https://www.econbiz.de/10002214167