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On estimating a dynamic function of a stochastic system with averaging
Liptser, R.; Spokojnyj, Vladimir G. - 1998
Persistent link: https://www.econbiz.de/10000168629
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On the estimation of fractionally integrated processes
Nielsen, Frank S. - 2009
Persistent link: https://www.econbiz.de/10003839270
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
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Three essays on econometrics
Kim, Myungsup - 2005
Persistent link: https://www.econbiz.de/10003905358
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
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Time inhomogenous multiple volatility modeling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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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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Sind ökonomische Prozesse Irrfahrtprozesse?
Lorenzen, Gunter - In: Wirtschaftswissenschaft und Wirtschaftswirklichkeit, (pp. 169-179). 1998
Persistent link: https://www.econbiz.de/10001304246
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Statistical inference for time-inhomogeneous volatility models
Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002
Persistent link: https://www.econbiz.de/10001697768