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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657