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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Levy-processes
Barndorff-Nielsen, Ole E. (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002721767
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Disentangling diffusion from jumps
Aït-Sahalia, Yacine - In: Journal of financial economics 74 (2004) 3, pp. 487-528
Persistent link: https://www.econbiz.de/10002439265
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Empirical process of the squared residuals of an ARCH sequence
Horvath, Lajos; Kokoszka, Piotr; Teyssière, Gilles - 1999
Persistent link: https://www.econbiz.de/10001424868
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Testing for stochastic monotonicity
Lee, Sokbae (contributor); Linton, Oliver (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003360105
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Normal modified stable processes
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2001
Persistent link: https://www.econbiz.de/10001598165
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On rational bubbles and fat tails
Lux, Thomas; Sornette, Didier - In: Journal of money, credit and banking : JMCB 34 (2002) 3,1, pp. 589-610
Persistent link: https://www.econbiz.de/10001698113
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Distribution of returns generated by stochastic exposure : an application to VaR calculation in the futures markets
Acar, Emmanuel; Pearson, Andrew - In: Performance measurement in finance, (pp. 73-90). 2002
Persistent link: https://www.econbiz.de/10001718574
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Estimation of continuous-time processes via the empirical characteristic function
Jiang, George J.; Knight, John L. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 198-212
Persistent link: https://www.econbiz.de/10001660376
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Monotone comparative statics under uncertainty
Athey, Susan - In: The quarterly journal of economics 117 (2002) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10001643154