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Drift-independent volatility estimation based on high, low, open, and close prices
Yang, Dennis; Zhang, Qiang - In: The journal of business : B 73 (2000) 3, pp. 477-491
Persistent link: https://www.econbiz.de/10001501942
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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001531381
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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Positive autocorrelations in stock returns due to market overreaction
Rath, Subhrendu - 1995
Persistent link: https://www.econbiz.de/10000912902
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A bivariate threshold autoregressive model for the Italian stock market
Dacco, Roberto - 1994
Persistent link: https://www.econbiz.de/10000924812
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
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Volatilitätsprozesse mit Faktor-GARCH-Modellen : eine empirische Studie für den deutschen Aktienmarkt
Kaiser, Thomas - 1997
Persistent link: https://www.econbiz.de/10000971500
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Non-parametric volatility estimation of exchange rates and stock prices
Heid, Frank - 1997
Persistent link: https://www.econbiz.de/10000978829
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Estimation of asymmetrical volatility for asset prices : the simultaneous switching ARIMA approach
Kunitomo, Naoto; Sato, Seisho - 1996
Persistent link: https://www.econbiz.de/10000950664
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Forecasting volatility using historical data
Figlewski, Stephen - 1994
Persistent link: https://www.econbiz.de/10000952027