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MCMC estimation of the COGARCH (1,1) model
Müller, Gernot - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 481-510
Persistent link: https://www.econbiz.de/10008665744
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The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
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Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis
Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65
Persistent link: https://www.econbiz.de/10009688173
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Analysis of stock market volatility by continuous-time GARCH models
Müller, Gernot; Durand, Robert B.; Maller, Ross; … - In: Stock market volatility, (pp. 31-50). 2009
Persistent link: https://www.econbiz.de/10003830403