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Sign- and volatility-switching ARCH models : theory and applications to international stock markets
Fornari, Fabio - In: Journal of applied econometrics 12 (1997) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10001215437
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Besteht Long Memory in Devisenkursen? : Eine semiparametrische Analyse
Barth, Wolfgang; Bomsdorf, Eckart - In: Allgemeines statistisches Archiv : AStA ; journal of … 81 (1997) 2, pp. 158-175
Persistent link: https://www.econbiz.de/10001220250
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Volatility clustering, asymmetry and hysteresis in stock returns : international evidence
Crouhy, Michel - In: Financial engineering and the Japanese markets 4 (1997) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10001222633
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An artificial neural network-GARCH model for international stock return volatility
Donaldson, R. Glen - In: Journal of empirical finance 4 (1997) 1, pp. 17-46
Persistent link: https://www.econbiz.de/10001224775
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Augmented ARCH models for financial time series : stability conditions and empirical evidence
Kunst, Robert M. - In: Applied financial economics 7 (1997) 6, pp. 575-586
Persistent link: https://www.econbiz.de/10001240823
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Modeling volatility dynamics
Diebold, Francis X.; García López, José A. - 1995
Persistent link: https://www.econbiz.de/10000920972
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Modeling volatility dynamics
Diebold, Francis X.; López, José A. - 1995
Persistent link: https://www.econbiz.de/10000945662
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
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Volatility clustering, asymmetry and hysteresis in stock returns : international evidence
Crouhy, Michel; Rockinger, Michael - 1994
Persistent link: https://www.econbiz.de/10000907916
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737