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Mean-reverting no-arbitrage additive models for forward curves in energy markets
Latini, Luca; Piccirilli, Marco; Vargiolu, Tiziano - In: Energy economics 79 (2019), pp. 157-170
Persistent link: https://www.econbiz.de/10012172269
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Fractionally integrated models with ARCH errors
Hauser, Michael A.; Kunst, Robert M. - 1994
Persistent link: https://www.econbiz.de/10000882159
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GARCH effects on a test of cointegration
Franses, Philip Hans; Kofman, Paul; Moser, James T. - 1993
Persistent link: https://www.econbiz.de/10000893748
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Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai - 1994
Persistent link: https://www.econbiz.de/10000896902
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Target zones and conditional volatility : an ARCH application to the EMS
Neely, Christopher J. - 1993
Persistent link: https://www.econbiz.de/10000897484
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Autoregressive conditional heteroscedasticity and USA inflation
Bairam, Erkin İbrahim - 1992
Persistent link: https://www.econbiz.de/10000836507
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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A local scale model : an unobserved component alternative to integrated garch processes
Shephard, Neil G. - 1990
Persistent link: https://www.econbiz.de/10000804115
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Filtering and forecasting with misspecified ARCH models I : getting the right variance with the wrong model
Nelson, Daniel B. - 1990
Persistent link: https://www.econbiz.de/10000811128
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Autoregressive conditional heteroskedasticity and changes in regime
Hamilton, James D.; Susmel, Raul - 1993
Persistent link: https://www.econbiz.de/10000877974