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Modeling the persistence of conditional volatility with GARCH-stable processes

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000984425

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000985609

A tail estimator for the index of the stable Paretian distribution

Mittnik, Stefan - 1996

Persistent link: https://www.econbiz.de/10001410592

Stationary of stable power-GARCH processes

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107

Persistent link: https://www.econbiz.de/10001633694

An econometric analysis of emission trading allowances

Paolella, Marc S. (contributor); Taschini, Luca (contributor) - 2006

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...

Persistent link: https://www.econbiz.de/10003394343

An econometric analysis of emission allowance prices

Paolella, Marc S.; Taschini, Luca - In: Journal of banking & finance 32 (2008) 10, pp. 2022-2032

Persistent link: https://www.econbiz.de/10003778574

Statistical inference in time series with unit root in the presence of infinite-variance disturbances

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10001410603

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Asia-Pacific financial markets 5 (1998) 2, pp. 99-128

Persistent link: https://www.econbiz.de/10001372063