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An empirical evaluation in GARCH volatility modeling : evidence from the Stockholm stock exchange
Dritsaki, Chaido - In: Journal of mathematical finance 7 (2017) 2, pp. 366-390
Persistent link: https://www.econbiz.de/10011673942
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Unobserved components in ARCH models : an application to seasonal adjustment
Fiorentini, Gabriele; Maravall, Agustín - 1994
Persistent link: https://www.econbiz.de/10000147942
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GARCH effects on a test of cointegration
Franses, Philip H.; Kofman, Paul; Moser, James - 1992
Persistent link: https://www.econbiz.de/10000122460
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Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000899156
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ARCH models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000899195
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Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach
Psaradakis, Zacharias G.; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000906276
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Random coefficient formulation of conditional heteroskedasticity and augmented Arch models
Bera, Anil K.; Higgins, Matthew Lawrence; Lee, Sangkyu - 1995
Persistent link: https://www.econbiz.de/10000911331
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Autoregressive conditional heteroskedasticity and changes in regime
Hamilton, James D.; Susmel, Raul - 1993
Persistent link: https://www.econbiz.de/10000877974
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Arch models
Bollerslev, Tim; Engle, Robert F.; Nelson, Daniel B. - 1993
Persistent link: https://www.econbiz.de/10000878183
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Fractionally integrated models with ARCH errors
Hauser, Michael A.; Kunst, Robert M. - 1994
Persistent link: https://www.econbiz.de/10000882159