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A note on inequality constraints in the GARCH model
Tsai, Henghsiu; Chan, Kung-sik - In: Econometric theory 24 (2008) 3, pp. 823-828
Persistent link: https://www.econbiz.de/10003894307
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Conditional quantile estimation for GARCH models
Xiao, Zhijie; Koenker, Roger - 2009
Persistent link: https://www.econbiz.de/10003901820
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Splines for financial volatility
Audrino, Francesco; Bühlmann, Peter - 2008
Persistent link: https://www.econbiz.de/10003903347
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Conditional heteroskedasticity models with Pearson Family Disturbances
Magdalinos, Michael A.; Mitsopoulos, George P. - In: The refinement of econometric estimation and test …, (pp. 1-33). 2007
Persistent link: https://www.econbiz.de/10003461822
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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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Splines for financial volatility
Audrino, Francesco; Bühlmann, Peter - 2007
Persistent link: https://www.econbiz.de/10003465238
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Pricing and inference with mixtures on conditionally normal processes
Bertholon, Henri; Monfort, Alain; Pegoraro, Fulvio - 2006
Persistent link: https://www.econbiz.de/10003447913
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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 134 (2006) 2, pp. 341-371
Persistent link: https://www.econbiz.de/10003374317
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A GARCH (1,1) estimator with (almost) no moment conditions on the error term
Preminger, Arie (contributor); Storti, Giuseppe (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375861
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Asymptotic theory for a factor GARCH model
Hafner, Christian M. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003375885