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GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10003275843

Garch and irregularly spaced data

Meddahi, Nour (contributor); Renault, Eric (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001774184

GARCH and Irregularly Spaced Data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - 2004

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied

Persistent link: https://www.econbiz.de/10014071554

Residual-based rank specification tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

Persistent link: https://www.econbiz.de/10011348447

Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994

Persistent link: https://www.econbiz.de/10000904675

Residual-based rank specification tests for ar-garch type models

Andreou, Elena; Werker, Bas J. M. - 2013

Persistent link: https://www.econbiz.de/10010188663

Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531

Testing for common conditionally heteroskedastic factors

Dovonon, Prosper; Renault, Eric - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 6, pp. 2561-2586

Persistent link: https://www.econbiz.de/10010237396

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10001956326

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

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