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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
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Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng; Lu, Xinjie; Yang, Ke; Zhang, Yaojie - In: Applied economics 51 (2019) 38, pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
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Adaptive testing in ARCH models
Linton, Oliver B.; Steigerwald, Douglas G. - 1995
Persistent link: https://www.econbiz.de/10000585298
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Fourth moment structure of the GARCH (p, q) process
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000960148
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Estimating ARCH models when the coefficients are allowed to be equal to zero
Francq, Christian; Zakoïan, Jean-Michel - 2008
Persistent link: https://www.econbiz.de/10003755838
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Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273
Persistent link: https://www.econbiz.de/10003739092
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Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang; Yao, Qiwei - In: Journal of econometrics 147 (2008) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10003783795
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Option valuation with conditional heteroskedasticity and non-normality
Christoffersen, Peter F. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003865667
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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - 2008
Persistent link: https://www.econbiz.de/10003818469
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Structural attribution of observed volatility clustering
Granger, C. W. J.; Machina, Mark J. - In: Journal of econometrics 135 (2006) 1/2, pp. 15-29
Persistent link: https://www.econbiz.de/10003376075