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Fourth-moments structures in financial time series
Kunst, Robert M. - 1993
Persistent link: https://www.econbiz.de/10000888010
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
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Testing for nonlinearity in daily German stock returns
Funke, Michael - 1993
Persistent link: https://www.econbiz.de/10000142708
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Evaluating alternative stock market volatility estimators : some empirical findings from the Swedish market
Jern, Benny - 1994
Persistent link: https://www.econbiz.de/10000147094
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - 1997
Persistent link: https://www.econbiz.de/10000956285
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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144