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High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 3, pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
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Estimation and testing in models containing both jumps and conditional heteroscedasticity
Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10001244002
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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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The asymptotic distribution of extreme stock market returns
Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408
Persistent link: https://www.econbiz.de/10001203930
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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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A maximum likelihood approach for non-Gaussian stochastic volatility models
Fridman, Moshe - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 284-291
Persistent link: https://www.econbiz.de/10001246512
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International stock return differentials and real exchange rate changes
Malliaropulos, Dimitrios - In: Journal of international money and finance 17 (1998) 3, pp. 493-511
Persistent link: https://www.econbiz.de/10001246595
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Superexogeneity and the dynamic linkages among international equity markets
Francis, Bill B. - In: Journal of international money and finance 17 (1998) 3, pp. 475-502
Persistent link: https://www.econbiz.de/10001246596
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Data-snooping, technical trading rule performance, and the bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert - 1998
Persistent link: https://www.econbiz.de/10000994249
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Aggregation of short-memory processes, the volatility of stock market return indices and long
Barnes, Michelle L. - 1998
Persistent link: https://www.econbiz.de/10000995175