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Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie
Brechtmann, Markus - 1998
Persistent link: https://www.econbiz.de/10000675119
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2008
Persistent link: https://www.econbiz.de/10003903349
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
Persistent link: https://www.econbiz.de/10003909174
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German stock market behavior and the IFO business climate index : a copula-based Markov approach
Jovanović, Mario - 2011
Persistent link: https://www.econbiz.de/10008841143
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Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003624500
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2007
Persistent link: https://www.econbiz.de/10003597924
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GMM estimation of the number of latent factors : with application to international stock markets
Ahn, Seung Chan; Perez, M. Fabricio - In: Journal of empirical finance 17 (2010) 4, pp. 783-802
Persistent link: https://www.econbiz.de/10009267244
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Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
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The effect of military expenditure on stock market development : panel evidence from system GMM estimates
Solarin Sakiru Adebola; Pritish Kumar Sahu - In: Defence and peace economics 26 (2015) 3, pp. 271-287
Persistent link: https://www.econbiz.de/10011349407