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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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A multivariate GARCH model of risk premia in foreign exchange markets
Malliaropulos, Dimitrios - In: Economic modelling 14 (1997) 1, pp. 61-79
Persistent link: https://www.econbiz.de/10001241607
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The role of risk in financial markets
Chou, Ray Yeutien - 1995
Persistent link: https://www.econbiz.de/10000965178
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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc; Elliott, Robert J.; Madan, Dilip B.; … - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
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A kernel variant for general cooperative games : characterization results
Christensen, Flemming - 1991
Persistent link: https://www.econbiz.de/10000818638
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Taming the skew : higher-order moments in modeling asset price processes in finance
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1997
Persistent link: https://www.econbiz.de/10000626665
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - 1996
Persistent link: https://www.econbiz.de/10000596784
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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Some new results on GARCH : exact formulas for the 2nd moments of the squared errors
Karanasos, Menelaos - 1996
Persistent link: https://www.econbiz.de/10000953935