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Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

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Cuadro-Sáez, Lucía; Moreno, Manuel - 2007

: the volume weighted return. Then, we estimate a GARCH (1,) model for the IBEX-35 futures market that includes shocks …

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Ledebur, Oliver von; Schmitz, Jochen - 2009

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Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541

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