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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo M.; Hassapis, Christis; Pittis, Nikitas - 1994
Persistent link: https://www.econbiz.de/10000147732
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Unobserved components in ARCH models : an application to seasonal adjustment
Fiorentini, Gabriele; Maravall, Agustín - 1994
Persistent link: https://www.econbiz.de/10000147942
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Risk and supply response in Turkish agriculture : an Arch & Garch analysis (1950 - 1990)
Ghatak, Subrata; Albayrak, Nursen - 1994
Persistent link: https://www.econbiz.de/10000148816
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Modelling long memory in stock market volatility : a fractionally integrated generalised arch approach
Psaradakis, Zacharias; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000151421
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Non-stationarity in Garch models : a Bayesian analysis
Kleibergen, F.; Dijk, H. K. van - 1993
Persistent link: https://www.econbiz.de/10000122423
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GARCH effects on a test of cointegration
Franses, Philip H.; Kofman, Paul; Moser, James - 1992
Persistent link: https://www.econbiz.de/10000122460
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Robust nonparametric estimation and prediction in ARCH-related models
Cron, Axel - 1997
Persistent link: https://www.econbiz.de/10000633843
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Financial volatility and real economic activity
Daly, Kevin James - 1999
Persistent link: https://www.econbiz.de/10000669878