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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Financial econometrics using Stata
Boffelli, Simona; Urga, Giovanni - 2016
Persistent link: https://www.econbiz.de/10013550838
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Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Old, Oliver - 2022
Introduction -- Financial time series -- Smoothing long term volatility -- 4 Free-knot spline-GARCH model -- Simulation …
Persistent link: https://www.econbiz.de/10013327923
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016
Persistent link: https://www.econbiz.de/10011432076
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Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999
Chan, Wai-Sum (contributor); Li, Wai Keung (contributor);  … - International Workshop on Statistics and Finance <1999, … - 2000
Persistent link: https://www.econbiz.de/10001490756
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Handbook of financial time series
Andersen, Torben (ed.); Davis, Richard A. (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003494231
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
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Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021 - This version: June 21, 2021
-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …
Persistent link: https://www.econbiz.de/10012591559
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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Bayesian nonparametrics for financial volatility modeling
Zaharieva, Martina Danielova - 2017
Persistent link: https://www.econbiz.de/10012200829