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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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Essays on asset allocation with derivatives and model estimation
Breuer, Beate - 2009
Persistent link: https://www.econbiz.de/10003823672
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Essays in international economics and finance
Reidel, Demian Axel - 2006
Persistent link: https://www.econbiz.de/10003965691
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Essays on Bayesian econometrics
Radchenko, Stanislav - 2002
Persistent link: https://www.econbiz.de/10003780474
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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A simple regime-switching model for stochastic volatilities
Christopeit, Norbert - 1997
Persistent link: https://www.econbiz.de/10000982947
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A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10001394312