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Income Volatility and Health
Halliday, Timothy - 2021
Income Dynamics using techniques from the literature on the estimation of dynamic panel data models. Contrary to much of the …
Persistent link: https://www.econbiz.de/10013325213
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - London School of Economics (LSE) - 2003
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no … exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov …
Persistent link: https://www.econbiz.de/10010884643
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A GARCH model of the implied volatility of the Swiss Market Index from options prices
Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004
option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from …
Persistent link: https://www.econbiz.de/10010746119
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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006
Persistent link: https://www.econbiz.de/10003332143
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Three essays on monetary economics
Chen, Shiu-sheng - 2004
Persistent link: https://www.econbiz.de/10003386775
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A volatile mind? : experimental evidence on dealers' biases and market volatility
Trivedi, Smita Roy - In: Review of behavioral finance : RBF 15 (2023) 4, pp. 550-569
Persistent link: https://www.econbiz.de/10014340882
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Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper
Herwartz, Helmut; Plödt, Martin - 2014
Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...
Persistent link: https://www.econbiz.de/10010482469
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim (contributor); Dijk, Dick van (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003754160
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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Modeling and forecasting the additive bias corrected extreme value volatility estimator
Kumar, Dilip; Maheswaran, S. - In: International review of financial analysis 34 (2014), pp. 166-176
Persistent link: https://www.econbiz.de/10010529043