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Post-sample prediction tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000961545
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Forecast selection by conditional predictive ability tests : an application to the yen/dollar exchange rate
Kawakami, Kei (contributor) - 2008
Persistent link: https://www.econbiz.de/10003639008
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Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung; Wang, Jai Jen - In: Applied economics letters 15 (2008) 7/9, pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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A semiparametric GARCH model for foreign exchange volatility
Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384
Persistent link: https://www.econbiz.de/10003277973
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The exchange rate in a behavioral finance framework
De Grauwe, Paul; Grimaldi, Marianna - 2006
Persistent link: https://www.econbiz.de/10003311180
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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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Australian evidence on volatility estimation in the context of foreign exchange markets
Hartnett, Neil; Salimsyah, Ernawan Rahmat; Winsen, Joseph K. - In: International economics & finance journal : (IEFJ) 1 (2006) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10003791193
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Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach
Raknerud, Arvid; Skare, Øivind - 2010
Persistent link: https://www.econbiz.de/10003950031
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10003953027