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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~accessRights:"restricted"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Fabozzi, Frank J."
~person:"Payá, Ivan"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Fabozzi, Frank J.
Payá, Ivan
Haas, Markus
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Computational economics
2
International journal of finance & economics : IJFE
1
Macroeconomic dynamics
1
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Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
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2
Temporal aggregation of random walk processes and implications for economic analysis
Ahmad, Yamin S.
;
Payá, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012198637
Saved in:
3
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
Saved in:
4
Nonlinear causality tests and multivariate conditional heteroskedasticity : a simulation study
Pavlidis, Efthymios G.
;
Payá, Ivan
;
Peel, David
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
3
,
pp. 297-312
Persistent link: https://www.econbiz.de/10009740330
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