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Modelling stock market volatility : bridging the gap to continuous time

Rossi, Peter E. (ed.) - 1996

Persistent link: https://www.econbiz.de/10013475092

Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000668367

Multivariate stochastic volatility

Daníelsson, Jón - 1995

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Modeling the persistence of conditional volatility with GARCH-stable processes

Mittnik, Stefan - 1997

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Firms' subjective uncertainty and forecast errors

Morikawa, Masayuki - 2019

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Perturbation and symmetry techniques applied to finance

Taylor, Stephen - 2010

Persistent link: https://www.econbiz.de/10010418488

GARCH models, tail indexes and error distributions : an empirical investigation

Šopov, Boril; Horváth, Roman - 2015

We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...

Persistent link: https://www.econbiz.de/10010529886

Short term prediction of extreme returns based on the recurrence interval analysis

Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; … - In: Quantitative finance 18 (2018) 3, pp. 353-370

Persistent link: https://www.econbiz.de/10011906380

Moment-implied densities : properties and applications

Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10010380476

Estimating and testing skewness in a stochastic volatility model

Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467

Persistent link: https://www.econbiz.de/10014476881

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