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Modeling the changing asymmetry of condnional variances
Fornari, F.; Mele, A. - In: Economics letters 50 (1996) 2, pp. 197-204
Persistent link: https://www.econbiz.de/10006794407
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A stochastic variance model for absolute returrs
Fornari, F.; Mele, A. - In: Economics letters 46 (1994) 3, pp. 211-214
Persistent link: https://www.econbiz.de/10006802390
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Weak Convergence and Distributional Assumptions for a General Class of Nonlinear Arch Models
Fornari, F.; Mele, A. - In: Econometric reviews 16 (1997) 2, pp. 205-228
Persistent link: https://www.econbiz.de/10006924488
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Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets
Fornari, F.; Mele, A. - In: Journal of applied econometrics 12 (1997) 1, pp. 49-66
Persistent link: https://www.econbiz.de/10006999537
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Fundamental Properties of Bond Prices in Models of the Short-Term Rate
Mele, A. - In: The review of financial studies 16 (2003) 3, pp. 679-716
Persistent link: https://www.econbiz.de/10007031851