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A new approach for using Lévy processes for determining high-frequency value-at-risk predictions
Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361
Persistent link: https://www.econbiz.de/10003824799
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Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Hwang, Soosung; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 249-277). 2007
Persistent link: https://www.econbiz.de/10003872982
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Local linear fitting under near epoch dependence
Lu, Zudi; Linton, Oliver - In: Econometric theory 23 (2007) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10003407421
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Trade intensity in the Russian stock market : dynamics, distribution and determinants
Anatolyev, Stanislav; Shakin, Dmitry - In: Applied financial economics 17 (2007) 1/3, pp. 87-104
Persistent link: https://www.econbiz.de/10003427015
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Long memory in return volatility
Yoon, Gawon - In: Applied economics letters 17 (2010) 4/6, pp. 345-349
Persistent link: https://www.econbiz.de/10003979468
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(I)rationality of investors on Croatian stock market : explaining the impact of American indices on Croatian stock market
Sajter, Domagoj; Ćorić, Tomislav - In: Zagreb international review of economics & business 12 (2009) 2, pp. 57-72
Persistent link: https://www.econbiz.de/10008858903
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Local linear fitting under near epoch dependence : uniform consistency with convergence rate
Li, Degui; Lu, Zu-di; Linton, Oliver - 2010
Persistent link: https://www.econbiz.de/10008649308
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Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - In: Journal of the American Statistical Association : JASA 102 (2007) 477, pp. 16-27
Persistent link: https://www.econbiz.de/10003430641
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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
Ling, Shiqing - In: Journal of econometrics 140 (2007) 2, pp. 849-873
Persistent link: https://www.econbiz.de/10003569985
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Essays on aggregation and cointegration of econometric models
Silvestrini, Andrea - 2009
Persistent link: https://www.econbiz.de/10003986597