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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Robust nonparametric estimation and prediction in ARCH-related models
Cron, Axel - 1997
Persistent link: https://www.econbiz.de/10000633843
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A Tobit model with GARCH errors
Calzolari, Giorgio; Fiorentini, Gabriele - 1997 - 1. ed
Persistent link: https://www.econbiz.de/10000960186
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Long memory with Markov-Switching GARCH
Krämer, Walter (contributor) - 2008
Persistent link: https://www.econbiz.de/10003641700
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Estimating GARCH models : when to use what?
Huang, Da; Wang, Hansheng; Yao, Qiwei - In: The econometrics journal 11 (2008) 1, pp. 27-38
Persistent link: https://www.econbiz.de/10003648603
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A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances
Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558
Persistent link: https://www.econbiz.de/10003739218
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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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M-estimation in GARCH models
Mukherjee, Kanchan - In: Econometric theory 24 (2008) 6, pp. 1530-1553
Persistent link: https://www.econbiz.de/10003771782
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Adaptive density estimation for general ARCH models
Comte, Fabienne; Dedecker, J.; Taupin, M. L. - In: Econometric theory 24 (2008) 6, pp. 1628-1662
Persistent link: https://www.econbiz.de/10003771889
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Semiparametric inference in a GARCH-in-Mean model
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774701