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Implication of instability on econometric and financial time series modeling
Aknouche, Abdelhakim - In: Econometrics : new research, (pp. 149-186). 2012
Persistent link: https://www.econbiz.de/10009614488
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Modeling and forecasting implied volatility
Ahoniemi, Katja - 2009
Persistent link: https://www.econbiz.de/10003802181
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A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence
Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 201-229
Persistent link: https://www.econbiz.de/10003804574
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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011500273
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Risks for the long run : a potential resolution of asset pricing puzzles
Bansal, Ravi; Yaron, Amir - In: The journal of finance : the journal of the American … 59 (2004) 4, pp. 1481-1509
Persistent link: https://www.econbiz.de/10002190599
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Temporal aggregation of univariate linear time series models
Silvestrini, Andrea (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003292886
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The intraday behaviors and relationships with its underlying assets : evidence on option market in Taiwan
Lee, Mingchih; Chen, Chun-Da - In: International review of financial analysis 14 (2005) 5, pp. 587-603
Persistent link: https://www.econbiz.de/10003228991
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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
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Statistical analysis of genetic algorithms in discovering technical trading strategies
Tsao, Chueh-yung; Chen, Shu-Heng - In: Applications of artificial intelligence in finance and …, (pp. 1-44). 2004
Persistent link: https://www.econbiz.de/10002797126
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Time series forecasting : the case for the single source of error state space
Ord, John Keith; Snyder, Ralph D.; Koehler, Anne B.; … - 2005
Persistent link: https://www.econbiz.de/10002728810