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Autoregressive conditional heteroscedasticity and USA inflation
Bairam, Erkin İbrahim - 1992
Persistent link: https://www.econbiz.de/10000836507
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Likelihood-based estimation of latent general ARCH structures
Fiorentini, Gabriele (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10003179153
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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 logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes...
Persistent link: https://www.econbiz.de/10002719797
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10001101893
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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables
Hafner, Christian M. - 1998
Persistent link: https://www.econbiz.de/10000965598
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Properties of western larch and their relation to uses of the wood
Johnsen, R. P. A.; Bradner, M. I. - 1932
Persistent link: https://www.econbiz.de/10000672166
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Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003646288
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Cross-country evidence on output growth volatility : nonstationary variance and GARCH models
Fang, Wen-shwo; Miller, Stephen M.; Lee, ChunShen - In: Scottish journal of political economy : the journal of … 55 (2008) 4, pp. 509-541
Persistent link: https://www.econbiz.de/10003742974
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The co-movements along the forward curve of natural gas futures: a structural view
Spargoli, Fabrizio (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003762669