Essays in financial econometrics : GMM and conditional heteroscedasticity
Year of publication: |
2008
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Authors: | Aguilar, Mike |
Subject: | ARCH-Modell | ARCH model | Momentenmethode | Method of moments | Heteroskedastizität | Heteroscedasticity | Finanzmarktökonometrie | Financial econometrics | CAPM | Schätztheorie | Estimation theory |
Description of contents: | Table of Contents [gbv.de] |
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Hill, Jonathan B., (2015)
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Testing for common conditionally heteroskedastic factors
Dovonon, Prosper, (2013)
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Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim, (2024)
- More ...
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Robust score and portmanteau tests of volatility spillover
Aguilar, Mike, (2015)
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Moment condition tests for heavy tailed time series
Hill, Jonathan B., (2013)
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A Latent Factor Model of Multivariate Conditional Heteroscedasticity
Aguilar, Mike, (2009)
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