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A multivariate GARCH model of risk premia in foreign exchange markets
Malliaropulos, Dimitrios - In: Economic modelling 14 (1997) 1, pp. 61-79
Persistent link: https://www.econbiz.de/10001241607
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
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Modeling the changing asymmetry of traditional variances
Fornari, Fabio - In: Economics letters 50 (1996) 2, pp. 197-203
Persistent link: https://www.econbiz.de/10001194690
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Continuous time conditionally heteroskedastic models : theory with applications to the term structure of interest rates
Fornari, Fabio - In: Economic notes : economic review of Banca Monte dei … 24 (1995) 2, pp. 327-352
Persistent link: https://www.econbiz.de/10001196572
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An evaluation of volatility forecasting techniques
Brailsford, Timothy J. - In: Journal of banking & finance 20 (1996) 3, pp. 419-438
Persistent link: https://www.econbiz.de/10001197045
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Testing stationary for stock market data
Dehay, Dominique - In: Economics letters 50 (1996) 2, pp. 205-212
Persistent link: https://www.econbiz.de/10001197579
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns : further evidence
Cecen, A. A. - In: Economics letters 51 (1996) 3, pp. 323-329
Persistent link: https://www.econbiz.de/10001200985
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Value at risk for a mixture of normal distributions : the use of quasi-Bayesian estimation techniques
Venkataraman, Subu - In: Economic perspectives 21 (1997) 2, pp. 2-13
Persistent link: https://www.econbiz.de/10001218351
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Transformation of Heath-Jarrow-Morton models to Markovian systems
Bhar, Ramaprasad - In: The European journal of finance 3 (1997) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10001219148