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type_genre:"Non-commercial literature"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~type_genre:"Article in journal"
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Search: subject_exact:"GARCH model"
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Augmented real-time GARCH : a joint model for returns, volatility and volatility of volatility
Ding, Dexter
-
2021
Persistent link: https://www.econbiz.de/10013254143
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2
Score-driven time series models
Harvey, Andrew C.
-
2021
Persistent link: https://www.econbiz.de/10013257426
Saved in:
3
Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang
-
2021
Persistent link: https://www.econbiz.de/10013262866
Saved in:
4
Conditional heteroscedasticity models with time-varying parameters : estimation and asymptotics
Pourkhanali, Armin
;
Keith, Jonathan
;
Zhang, Xibin
-
2020
Persistent link: https://www.econbiz.de/10012697180
Saved in:
5
Diffusion limits of real-time GARCH
Ding, Yashuang
-
2020
Persistent link: https://www.econbiz.de/10013206472
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6
Weak diffusion limit of real-time GARCH models : the role of current return information
Ding, Yashuang
-
2020
Persistent link: https://www.econbiz.de/10013206474
Saved in:
7
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
-
2019
Persistent link: https://www.econbiz.de/10012703124
Saved in:
8
A coupled component GARCH model for intraday and overnight volatility
Linton, Oliver
;
Wu, Jianbin
-
2018
Persistent link: https://www.econbiz.de/10012671142
Saved in:
9
A semiparametric intraday GARCH model
Malec, Peter
-
2016
Persistent link: https://www.econbiz.de/10011538851
Saved in:
10
Asymptotic theory for Beta-t-GARCH
Ito, Ryoko
-
2016
Persistent link: https://www.econbiz.de/10011455742
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