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~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~subject:"ARCH model"
~type_genre:"Graue Literatur"
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Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003476066
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2
The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003286582
Saved in:
3
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
4
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
5
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
6
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
7
A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
8
Change of structure in financial time series, long range dependence and the GARCH model
Mikosch, Thomas
;
Starica, Catalin
-
2000
Persistent link: https://www.econbiz.de/10001468893
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