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Wavelet analysis of nonlinear long-range dependent processes : applications to financial time series
Teyssière, Gilles; Abry, Patrice - In: Long memory in economics : with 50 tables, (pp. 173-238). 2006
Persistent link: https://www.econbiz.de/10003375645
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Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.; Hafner, Christian M. - In: Journal of applied econometrics 30 (2015) 2, pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - In: Annales d'économie et de statistique (2000), pp. 239-270
Persistent link: https://www.econbiz.de/10001543557
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Modeling volatility dynamics
Diebold, Francis X.; García López, José A. - 1995
Persistent link: https://www.econbiz.de/10000920972
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000989214
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the …
Persistent link: https://www.econbiz.de/10009540165