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Testing of binary regime switching models using squeeze duration analysis
Das, Milan Kumar; Goswami, Anindya - In: International journal of financial engineering 6 (2019) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10012028860
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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Modeling volatility dynamics
Diebold, Francis X.; Lopez, Jose A. - 1995
Persistent link: https://www.econbiz.de/10000587223
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Modelling long memory in stock market volatility : a fractionally integrated generalised arch approach
Psaradakis, Zacharias; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000151421
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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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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Nonlinearities and regime shifts in financial time series
Åsbrink, Stefan E. - 1997
Persistent link: https://www.econbiz.de/10000958387
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Peut-on exploiter le lien statistique entre cours et volumes? : Le cas de quatre bourses de valeurs
Chauveau, Thierry - 1997
Persistent link: https://www.econbiz.de/10000962614