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Short‐term stock price prediction based on limit order book dynamics
An, Yang; Chan, Ngai Hang - In: Journal of forecasting 36 (2017) 5, pp. 541-556
Persistent link: https://www.econbiz.de/10011860685
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Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Baños, David; Bølviken, Erik; Duedahl, Sindre; … - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 44-83
Persistent link: https://www.econbiz.de/10012195019
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Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns
Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64
Persistent link: https://www.econbiz.de/10014335959
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Real-time delay estimation in overloaded multiserver queues with abandonments
Ibrahim, Rouba; Whitt, Ward - In: Management science : journal of the Institute for … 55 (2009) 10, pp. 1729-1742
Persistent link: https://www.econbiz.de/10003908998
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Modelling the dynamics of a public health care system : evidence from time-series data
Iacone, Fabrizio; Martin, Steve; Siciliani, Luigi; … - 2007
Persistent link: https://www.econbiz.de/10003502542
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Modelling the dynamics of a public health care system : evidence from time-series data
Iacone, Fabrizio; Martin, Steve; Siciliani, Luigi; … - 2007
Persistent link: https://www.econbiz.de/10003541796
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Modelling the dynamics of a public health care system : evidence from time-series data
Iacone, Fabrizio; Martin, Steve; Siciliani, Luigi; … - In: Applied economics 44 (2012) 22/24, pp. 2955-2968
Persistent link: https://www.econbiz.de/10009616386
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Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10008702343
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010477092