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Score-driven models for realized volatility

Harvey, Andrew C.; Palumbo, Dario - 2019

Persistent link: https://www.econbiz.de/10012703124

Modeling and forecasting realized volatility : evidence from Brazil

Wink Junior, Marcos Vinício; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337

Persistent link: https://www.econbiz.de/10010402885

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns : 1990-2019

Chang, Kuang-Liang; Lee, Chingnun; He, Chi-Wei - In: Applied economics letters 30 (2023) 16, pp. 2189-2194

Persistent link: https://www.econbiz.de/10014364640

A new Pearson-type QMLE for conditionally heteroscedastic models

Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565

Persistent link: https://www.econbiz.de/10011403239

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...