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The power Log-GARCH model
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Sucarrat, Genaro
10
Escribano, Álvaro
8
Bauwens, Luc
3
Blazsek, Szabolcs
3
Rime, Dagfinn
3
Licht, Adrian
2
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
14
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1
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
-
2016
Persistent link: https://www.econbiz.de/10011541411
Saved in:
2
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
3
The power log-GARCH model
Sucarrat, Genaro
;
Escribano, Álvaro
-
2010
Persistent link: https://www.econbiz.de/10003972344
Saved in:
4
Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro
;
Escribano, Álvaro
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
Saved in:
5
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
6
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
(
contributor
);
Rime, Dagfinn
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003292873
Saved in:
7
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
(
contributor
);
Rime, Dagfinn
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003155180
Saved in:
8
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
;
Rime, Dagfinn
;
Sucarrat, Genaro
- In:
Empirical economics : a journal of the Institute for …
30
(
2005
)
4
,
pp. 889-911
Persistent link: https://www.econbiz.de/10003233824
Saved in:
9
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
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