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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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Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai - 1994
Persistent link: https://www.econbiz.de/10000896902
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Target zones and conditional volatility : an ARCH application to the EMS
Neely, Christopher J. - 1993
Persistent link: https://www.econbiz.de/10000897484
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000899212
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Estimation and testing in models containing both jumps and conditional heteroskedasticity
Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000904675
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Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach
Psaradakis, Zacharias G.; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000906276
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Local parametric analysis of hedging in discrete time
Bossaerts, Peter L.; Hillion, Pierre Henri - 1995
Persistent link: https://www.econbiz.de/10000912231
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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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The impact of inflation rate announcements on interest rate volatility : Australian evidence
Silvapulle, Paramsothy; Pereira, Robert; Lee, John H. H. - 1993
Persistent link: https://www.econbiz.de/10000878845