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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000879810
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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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Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
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Efficient estimation of linear asset-pricing models with moving average errors
Hansen, Lars Peter - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 53-68
Persistent link: https://www.econbiz.de/10001203180
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Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 371-396
Persistent link: https://www.econbiz.de/10001101891
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10001101893
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Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Ng, Lilian K. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1507-1521
Persistent link: https://www.econbiz.de/10001112556
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Joint cross-section time-series maximum likelihood estimation for the parameters of the Cox-Ingersoll-Ross bond pricing model
Daves, Phillip R. - In: The financial review : the official publication of the … 28 (1993) 2, pp. 203-237
Persistent link: https://www.econbiz.de/10001146307
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Preise und Handelsvolumina auf Finanzmärkten : eine empirische Überprüfung d. Mischungsverteilungshypothese
Liesenfeld, Roman - 1998
Persistent link: https://www.econbiz.de/10000982152