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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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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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Testing for foreign exchange market efficiency : a trivariate vector autoregressive approach
Shen, Chung-hua - In: Applied financial economics 7 (1997) 6, pp. 711-719
Persistent link: https://www.econbiz.de/10001240747
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A nonparametric test for I(0)
Lobato, Ignacio N. - In: The review of economic studies 65 (1998) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10001244372
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New panel unit root tests of PPP
Coakley, Jerry - In: Economics letters 57 (1997) 1, pp. 17-22
Persistent link: https://www.econbiz.de/10001229597
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Fractionally integrated models with ARCH errors
Hauser, Michael A.; Kunst, Robert M. - 1994
Persistent link: https://www.econbiz.de/10000882159
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Estimating Fluctuating Volatility Time Series Returns for a Cluster of International Stock Markets : A Case Study for Switzerland, Austria, China and Hong Kong
BADARLA, Suresh; NATHWANI, Bharti; Trivedi, Jatin; … - 2022
stock markets, such as: Switzerland, Austria, China and Hong Kong. The paper demonstrates statistical modeleling in order to … selected daily closing return collected for the main indices of stock markets in Switzerland, Austria, China and Hong Kong for …
Persistent link: https://www.econbiz.de/10013290005