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Long memory in stochastic volatility
Harvey, Andrew C. - In: Forecasting volatility in the financial markets, (pp. 351-363). 2007
Persistent link: https://www.econbiz.de/10003873010
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Forecasting with unobserved components time series models
Harvey, Andrew C. - 2006
Persistent link: https://www.econbiz.de/10003338431
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Exponential conditional volatility models
Harvey, Andrew C. - 2010
Persistent link: https://www.econbiz.de/10008649425
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Score-driven time series models
Harvey, Andrew C. - 2021
Persistent link: https://www.econbiz.de/10013257426
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Beta-t-(E)GARCH
Harvey, Andrew C.; Chakravarty, Tirthankar - 2008
Persistent link: https://www.econbiz.de/10003851030
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Volatility modeling with a generalized t-distribution
Harvey, Andrew C.; Lange, Rutger-Jan - 2015
Persistent link: https://www.econbiz.de/10011285967
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Modeling the interactions between volatility and returns
Harvey, Andrew C.; Lange, Rutger-Jan - 2015
Persistent link: https://www.econbiz.de/10011312241
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Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://www.econbiz.de/10010504846
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2014
Persistent link: https://www.econbiz.de/10010495720
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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124