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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - 2007 - Rev. version
Persistent link: https://www.econbiz.de/10003514621
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A closed-form estimator for the GARCH (1,1) model
Kristensen, Dennis; Linton, Oliver - In: Econometric theory 22 (2006) 2, pp. 323-337
Persistent link: https://www.econbiz.de/10003301258
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Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica; Caporin, Massimiliano; Gobbo, Michele - In: Applied financial economics letters 2 (2006) 2, pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
Čížek, Pavel; Härdle, Wolfgang; Spokojnyj, Vladimir G. - In: The econometrics journal 12 (2009) 2, pp. 248-271
Persistent link: https://www.econbiz.de/10003875660
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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Estimation of a semiparametric IGARCH(1,1) model
Kim, Woocheol; Linton, Oliver - 2009
Persistent link: https://www.econbiz.de/10003942459
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - 2009
Persistent link: https://www.econbiz.de/10003942464
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Density estimation for nonlinear parametric models with conditional heteroscedasticity
Zhao, Zhibiao - In: Journal of econometrics 155 (2010) 1, pp. 71-82
Persistent link: https://www.econbiz.de/10003965383
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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140