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Forecasting realized volatility with linear and nonlinear univariate models

McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008689073

Testing for neglected nonlinearity in long memory models

Baillie, Richard (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808664

Testing for neglected nonlinearity in long memory models

Kapetanios, George (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867128

Testing for ARCH in the presence of nonlinearity of unknow form in the conditional mean

Blake, Andrew P. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001868024

Testing for neglected nonlinearity in cointegrating relationships

Blake, Andrew P. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001920635

Properties of equilibrium asset prices under alternative learning schemes

Guidolin, Massimo (contributor); … - 2005

"This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly compared with prices under full...