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On the volatility and efficiency of stock prices
Pesaran, M. Hashem - 1989
Persistent link: https://www.econbiz.de/10000127642
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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2008
Persistent link: https://www.econbiz.de/10003850869
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003491106
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10003586562
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671
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Forecasting random walks under drift instability
Pesaran, M. Hashem; Pick, Andreas - 2009
Persistent link: https://www.econbiz.de/10003816240
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem - 2011
estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …
Persistent link: https://www.econbiz.de/10012714199
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …
Persistent link: https://www.econbiz.de/10012756639
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10013316934