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What jump process to use to model S&P500 Returns?
Semenova, Maria (contributor) - 2006
Persistent link: https://www.econbiz.de/10003370382
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000650309
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The Copula-GARCH model of conditional dependencies : an international stock market application
Jondeau, Eric; Rockinger, Michael - In: Journal of international money and finance 25 (2006) 5, pp. 827-853
Persistent link: https://www.econbiz.de/10003405036
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Conditional volatility, skewness, and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001534321
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Extreme value dependence in financial markets : diagnostics, models, and financial implications
Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610
Persistent link: https://www.econbiz.de/10002028108
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Conditional dependency of financial series : an application of copulas
Rockinger, Michael; Jondeau, Eric - 2001
Persistent link: https://www.econbiz.de/10001575962
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Conditional volatility, skewness and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001526562
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000972123
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000981414
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410