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Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003849502
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Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003850942
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Volatility forecasting with range-based EGARCH models
Brandt, Michael W.; Jones, Christopher S. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 470-486
Persistent link: https://www.econbiz.de/10003385173
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Robust estimation for the orthogonal GARCH model
Iqbal, Farhat - In: The Manchester School 81 (2013) 6, pp. 904-924
Persistent link: https://www.econbiz.de/10010341578
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A holistic approach to the predictive power of expected volatility
Holst, Gherben van der; Zwinkels, Remco C. J. - In: The journal of financial research 38 (2015) 4, pp. 417-459
Persistent link: https://www.econbiz.de/10011440741
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The monthly effect in stock returns and conditional heteroscedasticity
Rosenberg, Menahem - In: The American economist : journal of Omnicron Delta … 48 (2004) 2, pp. 67-73
Persistent link: https://www.econbiz.de/10002647004
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Spillovers across US financial markets
Rigobón, Roberto; Sack, Brian - 2003
Persistent link: https://www.econbiz.de/10001762977
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Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James E. H. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 16-29
Persistent link: https://www.econbiz.de/10001891395
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Spillovers across U.S. financial markets
Rigobón, Roberto; Sack, Brian - 2003
Persistent link: https://www.econbiz.de/10001756660
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Sectoral investigation of asymmetries in the conditional mean dynamics of the real U.S. GDP
Bidarkota, Prasad V. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 4, pp. 191-200
Persistent link: https://www.econbiz.de/10001769719