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Stochastic volatility duration...
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Theorie
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Gouriéroux, Christian
211
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116
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55
Jasiak, Joann
38
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25
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20
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Série des documents de travail / Centre de Recherche en Économie et Statistique
66
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28
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28
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
17
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ECONIS (ZBW)
322
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1
Trading patterns, time deformation and stochastic volatility in foreign exchange markets
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1996
Persistent link: https://www.econbiz.de/10000952887
Saved in:
2
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
3
Market time and asset price movements : theory and estimation
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1995
Persistent link: https://www.econbiz.de/10001512798
Saved in:
4
Causality between returns and traded volumes
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Annales d'économie et de statistique
(
2000
),
pp. 189-206
Persistent link: https://www.econbiz.de/10001543508
Saved in:
5
Kernel autocorrelogram for time deformed processes
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1996
Persistent link: https://www.econbiz.de/10000950447
Saved in:
6
Causality between returns and trated volumes
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1998
Persistent link: https://www.econbiz.de/10000996770
Saved in:
7
Nonlinear innovations and impulse responses with application to VaR sensitivity
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Annales d'économie et de statistique
78
(
2005
),
pp. 1-31
Persistent link: https://www.econbiz.de/10003278419
Saved in:
8
The ordered qualitative model for credit rating transitions
Feng, D.
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 111-130
Persistent link: https://www.econbiz.de/10003693020
Saved in:
9
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
10
The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
-
2004
Persistent link: https://www.econbiz.de/10002597955
Saved in:
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