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A generalized gamma autoregressive conditional duration model
Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999
Persistent link: https://www.econbiz.de/10001442379
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Common stochastic trends and convergence of European Union stock markets
Serletis, Apostolos - In: The Manchester School of Economic and Social Studies 65 (1997) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10001237363
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
Persistent link: https://www.econbiz.de/10002128301
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955246
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The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781206
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Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781208
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
Die vorliegende Arbeit untersucht Tests auf stochastische Dominanz, welche ein grundlegendes Konzept der Entscheidungstheorie ist. Hierbei konzentrieren wir uns auf stochastische Dominanz erster und zweiter Ordnung. Diese sind die beiden wichtigsten Entscheidungsregeln und finden Anwendung in...
Persistent link: https://www.econbiz.de/10003315772
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Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12
Persistent link: https://www.econbiz.de/10003301505