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Econometric analysis of financial and economic time series ; part a
13
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ECONIS (ZBW)
13
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1
A flexible dynamic correlation model
Baur, Dirk
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2006
Persistent link: https://www.econbiz.de/10003331350
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2
A multivariate skew-garch model
Luca, Giovanni de
;
Genton, Marc G.
;
Loperfido, Nicola
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2006
Persistent link: https://www.econbiz.de/10003331366
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3
Semi-parametric modelling of correlation dynamics
Hafner, Christian M.
;
Dijk, Dick van
;
Franses, Philip Hans
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2006
Persistent link: https://www.econbiz.de/10003331369
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4
A multivariate heavy-tailed distribution for arch/garch residuals
Politis, Dimitris N.
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2006
Persistent link: https://www.econbiz.de/10003331370
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5
A portmanteau test for multivariate garch when the conditional mean is an ECM : theory and empirical applications
Sin, Chor-yiu
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2006
Persistent link: https://www.econbiz.de/10003331371
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6
Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena
;
Ghysels, Eric
-
2006
Persistent link: https://www.econbiz.de/10003331375
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7
Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus
;
Koopman, Siem Jan
-
2006
Persistent link: https://www.econbiz.de/10003331376
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8
Noise reduced realized volatility : a kalman filter approach
Owens, John P.
;
Steigerwald, Douglas G.
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2006
Persistent link: https://www.econbiz.de/10003331379
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9
Modeling the asymmetry of stock movements using price ranges
Chou, Ray Yeutien
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2006
Persistent link: https://www.econbiz.de/10003331381
Saved in:
10
On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie
;
Valéry, Pascale
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2006
Persistent link: https://www.econbiz.de/10003331387
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