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type_genre:"Graue Literatur"
subject:"Volatilität"
~isPartOf:"NCER working paper series"
~subject:"Estimation theory"
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Volatilität
Estimation theory
Schätztheorie
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Volatility
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Box-Cox transformation
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Börsenkurs
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Capital income
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HAR model
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Maximum likelihood estimation
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autoregressive conditional heteroskedasticity
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modelling volatility
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testing parameter constancy
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time-varying GARCH
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A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
-
2019
Persistent link: https://www.econbiz.de/10012431202
Saved in:
2
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
3
Point process models for extreme returns : harnessing implied volatility
Herrera, Rodrigo
;
Clements, Adam
-
2015
Persistent link: https://www.econbiz.de/10011343686
Saved in:
4
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
Hurn, Stan
;
McClelland, Andrew
;
Lindsay, Kenneth A.
-
2010
Persistent link: https://www.econbiz.de/10008668669
Saved in:
5
Discrete time-series models when counts are unobservable
Christensen, T. M.
;
Hurn, Stan
;
Lindsay, Kenneth A.
-
2008
Persistent link: https://www.econbiz.de/10003880604
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