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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - 2010 - rev.
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally …
Persistent link: https://www.econbiz.de/10008669985
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Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117
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A spatial Cliff-Ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - In: Journal of regional science 50 (2010) 2, pp. 592-614
Persistent link: https://www.econbiz.de/10003974238
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Option pricing with asymmetric heteroskedastic normal mixture models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2010
Persistent link: https://www.econbiz.de/10008907500
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Separate estimation of spatial dependence parameters and variance parameters in a spatial model
Arnold, Matthias; Wied, Dominik - 2010
Persistent link: https://www.econbiz.de/10008839884
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Asymptotic and bootstrap inference for AR (∞) processes with conditional heteroskedasticity
Gonçalves, Sílvia; Kilian, Lutz - In: Econometric reviews 26 (2007) 6, pp. 609-641
Persistent link: https://www.econbiz.de/10003605816
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A note on Bayesian identification of change points in data sequences
Loschi, R. H.; Cruz, F. R. B.; Takahashi, R. H. C.; … - In: Computers & operations research : and their … 35 (2008) 1, pp. 156-170
Persistent link: https://www.econbiz.de/10003665885
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Panel data models with spatially correlated and heteroscedastic innovations : large and small sample results
Rodrigues, Paulo Jorge Maurício - 2007
Persistent link: https://www.econbiz.de/10003583088
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The performance of heteroskedasticity and autocorrelation robust tests : a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model
Ray, Surajit; Savin, N. Eugene - In: Journal of applied econometrics 23 (2008) 1, pp. 91-109
Persistent link: https://www.econbiz.de/10003682851
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Essays on empirical term structure modeling
Zhao, Feng - 2004
Persistent link: https://www.econbiz.de/10003387673