Narrow search
Showing 1 - 10 of 17,972
Cover Image
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
Cover Image
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
Cover Image
Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
Cover Image
Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001595495
Cover Image
Semiparametric diffusion estimation and application to a stock market model
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001619299
Cover Image
A generalized gamma autoregressive conditional duration model
Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999
Persistent link: https://www.econbiz.de/10001442379
Cover Image
Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Persistent link: https://www.econbiz.de/10000992362
Cover Image
The behavior of random variables with nonstationary variance and the distribution of security prices
Rosenberg, Barr - 1972
Persistent link: https://www.econbiz.de/10001368376
Cover Image
Ordinal- and continuous-response stochastic volatility models for price changes : an empirical comparison
Czado, Claudia; Müller, Gernot; Nguyen, Thi-Ngoc-Giau - In: Statistical modelling and regression structures : …, (pp. 301-320). 2010
Persistent link: https://www.econbiz.de/10003964492
Cover Image
Testing for predictability in a noninvertible ARMA model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10009621936