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~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~type:"book"
~type_genre:"Arbeitspapier"
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1
Semiparametric inference in a
GARCH
-in-Mean model
Christensen, Bent Jesper
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003774701
Saved in:
2
Testing for expected return and market price of risk in Chinese A-B share markets : a geometric Brownian motion and multivariate
GARCH
model approach
Zhu, Jie
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003460141
Saved in:
3
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
Saved in:
4
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:
5
Level-ARCH short rate models with regime switching : bivariate modeling of U.S. and European short rates
Christiansen, Charlotte
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10002743726
Saved in:
6
A robust LR test for the
GARCH
model
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002069045
Saved in:
7
Volatility-spillover effects in European bond markets
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001838842
Saved in:
8
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:
9
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:
10
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:
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