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Gram-Charlier densities
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 25 (2001) 10, pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
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Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.; Sheppard, Kevin - 2001
Persistent link: https://www.econbiz.de/10001618448
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Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.; Sheppard, Kevin - 2001
Persistent link: https://www.econbiz.de/10001620854
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A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
Fornari, Fabio; Mele, Antonio - 2001
Persistent link: https://www.econbiz.de/10001581711
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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 608-631
Persistent link: https://www.econbiz.de/10001589340
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 119-150). 2001
Persistent link: https://www.econbiz.de/10001590185
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GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
Amilon, Henrik - In: Economics letters 81 (2003) 2, pp. 215-222
Persistent link: https://www.econbiz.de/10001826093
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On the quantile regression based tests for asymmetry in stock return volatility
Park, Beum-jo - In: Asian economic journal : journal of the East Asian … 16 (2002) 2, pp. 175-191
Persistent link: https://www.econbiz.de/10001695943
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Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 565-586
Persistent link: https://www.econbiz.de/10001777182
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Conditional heteroscedasticity in the market model and efficient estimates of betas
Bera, Anil K. - In: The financial review : the official publication of the … 23 (1988) 2, pp. 201-214
Persistent link: https://www.econbiz.de/10001061436