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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
Amilon, Henrik - In: Economics letters 81 (2003) 2, pp. 215-222
Persistent link: https://www.econbiz.de/10001826093
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Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua - In: Econometric theory 20 (2004) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10002068275
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GARCH estimation and discrete stock prices
Amilon, Henrik - In: Essays on financial models, (pp. 61-74). 2000
Persistent link: https://www.econbiz.de/10001551219
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GARCH estimation and discrete stock prices
Amilon, Henrik - 2001
Persistent link: https://www.econbiz.de/10001567693
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Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, Fabio; Mele, Antonio - In: Journal of empirical finance 8 (2001) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10001568294
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GARCH estimation and discrete stock prices : an application to low-priced Australian stocks
Amilon, Henrik - 2002
Persistent link: https://www.econbiz.de/10001732829
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Recovering the probability density function of asset prices using GARCH as diffusion approximations
Fornari, Fabio - 2001
Persistent link: https://www.econbiz.de/10013439253