Narrow search
Showing 1 - 10 of 78
Cover Image
Bayesian analysis of a doubly truncated ARMA-GARCH model
Goldman, Elena (contributor); Tsurumi, Hiroki (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 3, pp. 1-36
Persistent link: https://www.econbiz.de/10003283242
Cover Image
Can GARCH models capture long-range dependence?
Maheu, John M. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10003283982
Cover Image
Detecting nonlinearity in time series : surrogate and bootstrap approaches
Hinich, Melvin J. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10003284297
Cover Image
Forecasting stock market volatility with regime-switching GARCH models
Marcucci, Juri (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-53
Persistent link: https://www.econbiz.de/10003284325
Cover Image
Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Martins-Filho, Carlos (contributor); Yao, Feng (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003558963
Cover Image
A switching ARCH model for German DAX index
Kaufmann, Sylvia (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10003559162
Cover Image
Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Trifi, Amine (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10003559185
Cover Image
Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10009521860
Cover Image
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Cover Image
A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500
Persistent link: https://www.econbiz.de/10011339413