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Testing for structural breaks in GARCH models
Smith, Daniel R. - In: Applied financial economics 18 (2008) 10/12, pp. 845-862
Persistent link: https://www.econbiz.de/10003739446
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An empirical investigation of the level effect in Australian interest rates
Gray, Philip K.; Smith, Daniel R. - In: Australian journal of management 33 (2008/09) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10003740469
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Yield-factor volatility models
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 31 (2007) 10, pp. 3125-3144
Persistent link: https://www.econbiz.de/10003574840
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Asymmetry in stochastic volatility models : threshold or correlation?
Smith, Daniel R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10009513579