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Financial modeling under non-Gaussian distributions

Jondeau, Eric; Poon, Ser-Huang; Rockinger, Michael - 2007

Persistent link: https://www.econbiz.de/10004886413

Determinants of capital flows to mutual funds

Rockinger, Michael - 1995

Persistent link: https://www.econbiz.de/10000930664

Les déterminants économiques de l'évolution du dollar

Jondeau, Eric - 1994

Persistent link: https://www.econbiz.de/10000884302

Modèle de prévision et allocation d'actifs

Jondeau, Eric - 1994

Persistent link: https://www.econbiz.de/10000894322

Contemporaneous aggregation of GARCH models and evaluation of the aggregation bias

Jondeau, Eric - 2008

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...