Narrow search
Showing 1 - 10 of 10,610
Cover Image
Time inhomogeneous multiple volatility modelling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001
Persistent link: https://www.econbiz.de/10001580374
Cover Image
Efficiency gains from quasi-differencing under nonstationarity
Phillips, Peter C. B.; Lee, Chin Chin - 1996
Persistent link: https://www.econbiz.de/10001589738
Cover Image
Models and priors for multivariate stochastic volatility
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev
Persistent link: https://www.econbiz.de/10000925647
Cover Image
The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion
Kapetanios, George - In: Econometric theory 20 (2004) 4, pp. 735-742
Persistent link: https://www.econbiz.de/10002163092
Cover Image
SLEX analysis of multivariate nonstationary time series
Omba, Hernando; Sachs, Rainer von; Guo, Wensheng - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 519-531
Persistent link: https://www.econbiz.de/10002929323
Cover Image
Extremes of multidimensional stationary diffusion processes and applications in finance
Kunz, Andreas (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763100
Cover Image
A range-based multivariate model for exchange rate volatility
Tims, Ben (contributor); Mahieu, Ronald J. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001765941
Cover Image
A stochastic model for multivariate surveillance of infectious diseases
Hofmann, Mathias (contributor); Höhle, Michael (contributor) - 2004
Persistent link: https://www.econbiz.de/10002638729
Cover Image
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
Cover Image
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models
Liesenfeld, Roman (contributor);  … - 2004 - [Elektronische Ressource]
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893