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Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Dutta, Anupam - In: Revisiting Electricity Market Reforms : Lessons for …, (pp. 143-158). 2022
Persistent link: https://www.econbiz.de/10013447658
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The Brexit impact on European market co-movements
Ben Ameur, Hachmi; Louhichi, Waël - In: Risk management decisions and value under uncertainty, (pp. 1387-1403). 2022
Persistent link: https://www.econbiz.de/10013342123
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False EUR exchange rates vs. DKK, CHF, JPY and USD : what is a strong currency?
Ivanova, Kristinka; Ausloos, Marcel - In: Empirical science of financial fluctuations : the …, (pp. [51]-60). 2002
Persistent link: https://www.econbiz.de/10001679230
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Modeling changes in daily $A exchange rates : an application of GARCH
Kim, Suk-Joong - In: Proceedings of the 1995 Econometrics Conference at …, (pp. 489-526). 1995
Persistent link: https://www.econbiz.de/10001294209
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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A Bayesian semiparametric analysis of ARCH models
Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000
Persistent link: https://www.econbiz.de/10001497195
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Markov Switching GARCH models : filtering, approximations and duality
Billio, Monica; Cavicchioli, Maddalena - In: Mathematical and statistical methods for actuarial …, (pp. 59-72). 2017
Persistent link: https://www.econbiz.de/10012098763
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A survey of recent theoretical results for time series models with GARCH errors
Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000
Persistent link: https://www.econbiz.de/10001684387
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Recent theoretical results for time series models with GARCH errors
Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Contributions to financial econometrics : theoretical …, (pp. 9-33). 2003
Persistent link: https://www.econbiz.de/10001932650
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Bootstrapping financial time series
Ruiz, Esther; Pascual, Lorenzo - In: Contributions to financial econometrics : theoretical …, (pp. 35-64). 2003
Persistent link: https://www.econbiz.de/10001932651