Narrow search
Showing 111 - 120 of 673,219
Cover Image
Modeling asset prices
Gentle, James E.; Härdle, Wolfgang - 2010
time diffusion models ; models with jumps ; stochastic volatility ; GARCH …
Persistent link: https://www.econbiz.de/10003973644
Cover Image
Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
Cover Image
Threshold selection in jump-discriminant filter for discretely observed jump processes
Shimizu, Yasutaka - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 355-378
Persistent link: https://www.econbiz.de/10008649257
Cover Image
Exponential conditional volatility models
Harvey, Andrew C. - 2010
Persistent link: https://www.econbiz.de/10008649425
Cover Image
Long-memory and level shifts in the volatility of stock market return indices
Perron, Pierre; Qu, Zhongjun - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 2, pp. 275-290
Persistent link: https://www.econbiz.de/10008736221
Cover Image
General-to-specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc; Sucarrat, Genaro - In: International journal of forecasting 26 (2010) 4, pp. 885-907
Persistent link: https://www.econbiz.de/10008807690
Cover Image
The non-linear evolution of high frequency short term interest rates
Cripwell, Peter; Edelman, David - 2008
In this paper new results are documented regarding the short term evolution of global short term interest rates. Much work has been carried out concerning the evolution of interest rates over long time scales, on the order on one month or greater. However high frequency data has only been...
Persistent link: https://www.econbiz.de/10008808029
Cover Image
Extreme observations and non-normality in ARCH and GARCH
Bali, Rakesh; Guirguis, Hany S. - In: International review of economics & finance : IREF 16 (2007) 3, pp. 332-346
Persistent link: https://www.econbiz.de/10003613144
Cover Image
Variation, jumps and high-frequency data in financial econometrics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2007
Persistent link: https://www.econbiz.de/10003691562
Cover Image
Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return … ; financial volatility ; explanatory modelling …
Persistent link: https://www.econbiz.de/10003694144