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Finance research letters
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International review of financial analysis
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108
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Investment management and financial innovations
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ECONIS (ZBW)
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1
Multivariate Stochastic
Volatility
Models with Correlated Errors
Chan, David X.
-
2008
stochastic
volatility
model. Since the number of parameters in the joint correlation matrix of the return and
volatility
errors …
Persistent link: https://www.econbiz.de/10012727256
Saved in:
2
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
3
A simple efficient moment-based estimator for the stochastic
volatility
model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
Saved in:
4
Optimal filter approximations for latent long memory stochastic
volatility
Yap, Grace Lee Ching
- In:
Computational economics
56
(
2020
)
2
,
pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
Saved in:
5
Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter
;
Madsen, Henrik
;
Lindström, Erik
- In:
Journal of forecasting
36
(
2017
)
8
,
pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
Saved in:
6
Simple estimators and inference for higher-order stochastic
volatility
models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
7
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
Saved in:
8
Parameter estimation methods of required rate of return on stock
Gankhuu, Battulga
- In:
International journal of theoretical and applied …
26
(
2023
)
8
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014500270
Saved in:
9
Modeling share returns : an empirical study on the Variance Gamma model
Rathgeber, Andreas W.
;
Stadler, Johannes
;
Stöckl, Stefan
- In:
Journal of economics and finance
40
(
2016
)
4
,
pp. 653-682
Persistent link: https://www.econbiz.de/10011659065
Saved in:
10
Multivariate Wishart stochastic
volatility
models
Gribisch, Bastian
;
Liesenfeld, Roman
-
2010
Persistent link: https://www.econbiz.de/10008910010
Saved in:
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