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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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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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Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
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Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework
Hördahl, Peter; Nordén, Lars - 1996
Persistent link: https://www.econbiz.de/10000932356
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad; Chiarella, Carl - 1995
Persistent link: https://www.econbiz.de/10000951349
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Forecasting volatility using historical data
Figlewski, Stephen - 1994
Persistent link: https://www.econbiz.de/10000952027
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Estimating stochastic volatility models through indirect inference
Monfardini, Chiara - 1996
Persistent link: https://www.econbiz.de/10000952218
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Some new results on GARCH : exact formulas for the 2nd moments of the squared errors
Karanasos, Menelaos - 1996
Persistent link: https://www.econbiz.de/10000953935
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Nonlinear time series with long memory : a model for stochastic volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000954585
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Semi-parametric modelling of the term structure
Bianchi, Marco; Orszag, Jonathan Michael; Steeley, James M. - 1997
Persistent link: https://www.econbiz.de/10000956524