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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

Persistent link: https://www.econbiz.de/10000965598

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang - 1997

Persistent link: https://www.econbiz.de/10000971105

A new method for volatility estimation with applications in foreign exchange rate series

Bossaerts, Peter L. - In: Finanzmarktanalyse und -prognose mit innovativen …, (pp. 71-83). 1996

Persistent link: https://www.econbiz.de/10001318071

Kernel estimation of financial time series

Hafner, Christian M. - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 223-239). 1996

Persistent link: https://www.econbiz.de/10001319158

A note on the Tobit model in the presence of a duration variable

Hafner, Christian M.; Preminger, Arie - In: Economics letters 126 (2015), pp. 47-50

Persistent link: https://www.econbiz.de/10011376392

Estimation of a multiplicative covariance structure

Hafner, Christian M.; Linton, Oliver; Tang, Haihan - 2016

We consider a Kronecker product structure for large covariance matrices, which has the feature that the number of free parameters increases logarithmically with the dimensions of the matrix. We propose an estimation method of the free parameters based on the log linear property of this...

Persistent link: https://www.econbiz.de/10011471948