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Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables

Galata, Robert (ed.); Schneeweiß, Hans (honouree); … - 1998

research on decision theory which has marked developments in this field. His book Entscheidungskriterien bei Risiko, published …

Persistent link: https://www.econbiz.de/10000655961

Wavelet analysis of nonlinear long-range dependent processes : applications to financial time series

Teyssière, Gilles; Abry, Patrice - In: Long memory in economics : with 50 tables, (pp. 173-238). 2006

Persistent link: https://www.econbiz.de/10003375645

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …

Persistent link: https://www.econbiz.de/10003953027

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …