Similar Search Results

Flexible and robust modelling of volatility comovements : a comparison of two multifractal models

Liu, Ruipeng; Lux, Thomas - 2010

via both maximum likelihood and simulation based inference approaches. In order to explore its practical performance, we … models ; simulation based inference ; value-at-risk ; expected shortfall …

Persistent link: https://www.econbiz.de/10003932609

Are spectral estimators useful for implementing long-run restrictions in SVARs?

Mertens, Elmar - 2010

Persistent link: https://www.econbiz.de/10003968244

Forecast evaluation of explanatory models of financial return variability

Sucarrat, Genaro (contributor) - 2008

discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return … basis in the simulation results a simple framework is proposed and illustrated. -- Return variability forecasting …

Persistent link: https://www.econbiz.de/10003694144

Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten

Gogokhia, Lia - 2008

Persistent link: https://www.econbiz.de/10003672746

Introductory econometrics for finance

Brooks, Chris - 2008 - 2. ed.

Persistent link: https://www.econbiz.de/10003679796

Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

Péguin-Feissolle, Anne (contributor); … - 2007 - Rev. January 18, 2012

In this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in a sample space. We study the performance of our tests by...

Persistent link: https://www.econbiz.de/10003534364