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Aggregation and memory of models of changing volatility
Zaffaroni, Paolo - In: Journal of econometrics 136 (2007) 1, pp. 237-249
Persistent link: https://www.econbiz.de/10003401656
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Whittle estimation of EGARCH and other exponential volatility models
Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-200
Persistent link: https://www.econbiz.de/10003877967
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Gaussian inference on certain long-range dependent volatility models
Zaffaroni, Paolo - 2003
Persistent link: https://www.econbiz.de/10013439331
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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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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
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Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-305
Persistent link: https://www.econbiz.de/10003839329
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Model averaging in risk management with an application to futures markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003671171
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Gaussian inference on certain long-range dependent volatility models
Zaffaroni, Paolo; d'Italia, Banca - In: Journal of econometrics 115 (2003) 2, pp. 199-258
Persistent link: https://www.econbiz.de/10001768297
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Gaussian estimation of long-range dependent volatility in asset prices
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000964422