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~subject:"ARCH model"
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ARCH model
Schätztheorie
54
Estimation theory
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41
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30
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30
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29
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Statistical theory
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Statistische Methodenlehre
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6
volatility
6
ARCH-Modell
5
CAPM
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Risikomaß
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5
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Pelletier, Denis
4
Khalaf, Lynda
2
Saphores, Jean-Daniel M.
2
Christoffersen, Peter F.
1
Hall, Alastair R.
1
Inoue, Atsushi
1
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American journal of agricultural economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Les cahiers de recherche / Université Laval, Département d'Economique
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ECONIS (ZBW)
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1
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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2
On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices
Saphores, Jean-Daniel M.
;
Khalaf, Lynda
;
Pelletier, Denis
- In:
American journal of agricultural economics
84
(
2002
)
2
,
pp. 387-400
Persistent link: https://www.econbiz.de/10001683998
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3
On jumps and ARCH effects in natural resource prices : an application to stumpage prices from Pacific Northwest national forests
Saphores, Jean-Daniel M.
;
Khalaf, Lynda
;
Pelletier, Denis
-
2000
Persistent link: https://www.econbiz.de/10001470050
Saved in:
4
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
5
Lagrange multiplier tests for normality against seminonparametric alternatives
Hall, Alastair R.
- In:
Journal of business & economic statistics : JBES ; a …
8
(
1990
)
4
,
pp. 417-426
Persistent link: https://www.econbiz.de/10001096543
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