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Beta variability in the market model : an investigation of 16 of the most actively traded stocks on the Stockholm Stock Exchange
Setterblad, Johan - 1994
Persistent link: https://www.econbiz.de/10000894638
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Time-series tests of a non-expected-utility model of asset pricing
Giovannini, Alberto; Jorian, Philippe - 1989
Persistent link: https://www.econbiz.de/10000781817
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000766245
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000879810
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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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Jump volatility estimates of high frequency data and analysis based on HHT
Chen, Jiangrui; Yin, Lianqian; Hou, Sizhe; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 11, pp. 242-249
Persistent link: https://www.econbiz.de/10011401479
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - 2015
Persistent link: https://www.econbiz.de/10011419314
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Testing of a market fraction model and power-law behaviour in the Dax 30
He, Xue-zhong; Li, Youwei - 2015
Persistent link: https://www.econbiz.de/10011344322
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Heterogeneity in stock prices : a STAR model with multivariate transition function
Lof, Matthijs - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1845-1854
Persistent link: https://www.econbiz.de/10009701922