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Extreme events from the return-volume process : a discretization approach for complexity reduction
Bühlmann, Peter - In: Applied financial economics 8 (1998) 3, pp. 267-278
Persistent link: https://www.econbiz.de/10001244166
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An EM algorithm for conditionally heteroscedastic factor models
Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361
Persistent link: https://www.econbiz.de/10001246504
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Cumulative waveletgram test for randomness
Orszag, Jonathan Michael - 1995
Persistent link: https://www.econbiz.de/10000924235
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Stock price adjustment under short-selling restriction : evidence from nonlinear time series tests
Jokivuolle, Esa; Lanne, Markku - 1995
Persistent link: https://www.econbiz.de/10000926351
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On the nature of dependence in the volatility of US stock returns
Barnes, Michelle L. - 1998
Persistent link: https://www.econbiz.de/10000995102
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Non-linear threshold relationships between inflation and nominal returns : a time series approach to 39 different countries
Barnes, Michelle L. - 1998
Persistent link: https://www.econbiz.de/10000995106
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On the distribution of transaction stock returns : theory and evidence
Ha, Daesung - 1991
Persistent link: https://www.econbiz.de/10000997684
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The ARCH effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
Din, Tarek Mohy el - 1997
Persistent link: https://www.econbiz.de/10000968338
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737