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American option pricing using GARCH models and the normal inverse Gaussian distribution
Stentoft, Lars - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 540-582
Persistent link: https://www.econbiz.de/10003778987
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Dynamic asymmetric GARCH
Caporin, Massimiliano; McAleer, Michael - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 385-412
Persistent link: https://www.econbiz.de/10003354083
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Inequality constraints in the fractionally integrated GARCH model
Conrad, Christian A.; Haag, Berthold R. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 413-449
Persistent link: https://www.econbiz.de/10003354107
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Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH model
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 373-411
Persistent link: https://www.econbiz.de/10003907524
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A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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MCMC estimation of the COGARCH (1,1) model
Müller, Gernot - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 481-510
Persistent link: https://www.econbiz.de/10008665744
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Shifts in individual parameters of a GARCH model
Galeano, Pedro; Tsay, Ruey S. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 122-153
Persistent link: https://www.econbiz.de/10003997359
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Structural conditional correlation
Weber, Enzo - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
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Parameterizing unconditional skewness in models for financial time series
He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 208-230
Persistent link: https://www.econbiz.de/10003687850