Narrow search
Showing 1 - 10 of 10,488
Cover Image
Volatility modelling and forecasting in finance
Xiao, Linlan; Aydemir, Abdurrahman - In: Forecasting volatility in the financial markets, (pp. 1-45). 2007
Persistent link: https://www.econbiz.de/10003872808
Cover Image
Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu; Gao, Ping; Li, Handong - In: Economic modelling 46 (2015), pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
Cover Image
Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
Cover Image
Nonparametric estimation for a stochastic volatility model
Comte, Fabienne; Genon-Catalot, Valentine; Rozenholc, Y. - In: Finance and stochastics 14 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003924782
Cover Image
Exploiting common features in macroeconomic and financial data
Çakmaklı, Cem - 2012
Persistent link: https://www.econbiz.de/10009713424
Cover Image
Essays on nonparametric econometrics of stochastic volatility
Zu, Yang - 2012
Persistent link: https://www.econbiz.de/10009713426
Cover Image
Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
Cover Image
Time series econometrics
Neusser, Klaus - 2016
Persistent link: https://www.econbiz.de/10011485298
Cover Image
Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Applied economics 44 (2012) 25/27, pp. 3533-3550
Persistent link: https://www.econbiz.de/10009619742
Cover Image
Time Series Econometrics
Neusser, Klaus - 2016
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of...
Persistent link: https://www.econbiz.de/10012397877