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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Modellierung von Kapitalmarktvolatilität mittels fehlspezifizierter GARCH(p,q)-Prozesse
Schmidt, Michael - 2000
Persistent link: https://www.econbiz.de/10013360888
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Dynamic mixture models for financial time series
Haas, Markus - 2004 - 1. Aufl.
Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...
Persistent link: https://www.econbiz.de/10002452594
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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003109018
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Essays on the relation between idiosyncratic volatility and expected returns
Seidens, Sebastian - 2018
Persistent link: https://www.econbiz.de/10012018987
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Volume and the nonlinear dynamics of stock returns
Hsu, Chiente - 1998
Persistent link: https://www.econbiz.de/10013278146
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Mean reversion models of financial markets
Hillebrand, Eric - 2003 - [Elektronische Ressource]
Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …
Persistent link: https://www.econbiz.de/10001774355
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Essays on econometric analysis of price and volatility behavior in asset markets
Zhu, Jie - 2008
Persistent link: https://www.econbiz.de/10003738564
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Autoregressive models with time-varying parameters and applications to financial time series
Liu, Haiyan - 2003
Persistent link: https://www.econbiz.de/10003628461