Narrow search
Showing 141 - 150 of 663,709
Cover Image
On the multivariate EGARCH model
Jane, Ten-Der; Ding, Cherng G. - In: Applied economics letters 16 (2009) 16/18, pp. 1757-1761
Persistent link: https://www.econbiz.de/10003932399
Cover Image
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935355
Cover Image
Properties of the QMLE and the weighted LSE for LARCH (q) models
Francq, Christian; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935360
Cover Image
Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
Cover Image
An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975377
Cover Image
Unbounded heteroscedasticity in first-order autoregressive models and the EickerWhite asymptotic variance estimator
Kourogenis, Nikolaos; Pittis, Nikitas - In: Economics letters 106 (2010) 2, pp. 84-86
Persistent link: https://www.econbiz.de/10003948555
Cover Image
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Xiao, Zhijie; Koenker, Roger - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1696-1712
Persistent link: https://www.econbiz.de/10003993253
Cover Image
Fractionally integrated time varying GARCH model
Nasr, Adnen Ben; Boutahar, Mohamed; Trabelsi, Abdelwahed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 399-430
Persistent link: https://www.econbiz.de/10008649243
Cover Image
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
Cover Image
The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Galeano, Pedro; Ausín, M. Concepción - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 559-571
Persistent link: https://www.econbiz.de/10008736138