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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening - In: Journal of econometrics 228 (2022) 1, pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000879810
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Preise und Handelsvolumina auf Finanzmärkten : eine empirische Überprüfung d. Mischungsverteilungshypothese
Liesenfeld, Roman - 1998
Persistent link: https://www.econbiz.de/10000982152
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"Flexible least squares betas: the French market case"
Chauveau, Thierry; Maillet, Bertrand - 1998
Persistent link: https://www.econbiz.de/10000989212
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000766245
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Time-series tests of a non-expected-utility model of asset pricing
Giovannini, Alberto; Jorian, Philippe - 1989
Persistent link: https://www.econbiz.de/10000781817
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Estimation of continuous-time models in finance
Melino, Angelo - 1994
Persistent link: https://www.econbiz.de/10001327442