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Search: subject:"(augmented) GARCH"
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Liechtenstein
5
amalGARCH
4
asymptotic normality
4
consistency
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polynomial augmented GARCH models
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quasi-maximum likelihood estimation
4
ARCH-Modell
3
Tax evasion
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augmented GARCH
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financial institutions
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stock price volatility
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Estimation theory
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(augmented) GARCH
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(sample) mean absolute deviation
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(sample) quantile
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American Options
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Augmented Conditional Variance Equation
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Augmented GARCH
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Börsenkurs
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Least Squares Monte Carlo
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Brunhart, Andreas
4
Tinkl, Fabian
4
Andreas, Brunhart
1
Bräutigam, Marcel
1
Kratz, Marie
1
Stentoft, Lars
1
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School of Economics and Management, University of Aarhus
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
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Bivariate FCLT for the sample quantile and measures of dispersion for
augmented
GARCH
(p, q) processes
Bräutigam, Marcel
;
Kratz, Marie
-
2019
Persistent link: https://www.econbiz.de/10012138444
Saved in:
2
Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment
Brunhart, Andreas
- In:
Swiss Journal of Economics and Statistics
150
(
2014
)
3
,
pp. 161-190
unconventional
augmented
GARCH
-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and …
Persistent link: https://www.econbiz.de/10011933322
Saved in:
3
Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment
Brunhart, Andreas
- In:
Swiss Journal of Economics and Statistics (SJES)
150
(
2014
)
III
,
pp. 161-190
unconventional
augmented
GARCH
-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and …
Persistent link: https://www.econbiz.de/10011276127
Saved in:
4
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian
-
2013
results of the standard GARCH model to the class of polynomial
augmented
GARCH
models which contains many commonly employed …
Persistent link: https://www.econbiz.de/10010312004
Saved in:
5
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian
-
Wirtschafts- und Sozialwissenschaftliche Fakultät, …
-
2013
results of the standard GARCH model to the class of polynomial
augmented
GARCH
models which contains many commonly employed …
Persistent link: https://www.econbiz.de/10010954427
Saved in:
6
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian
-
2013
results of (Berkes et al., 2003) and (Francq and Zakoïan, 2004) of the standard GARCH model to
augmented
GARCH
models … normality ; consistency ; polynomial
augmented
GARCH
models ; quasi-maximum likelihood estimation …
Persistent link: https://www.econbiz.de/10009725214
Saved in:
7
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian
-
2013
-
[Aktualisierte Version]
results of the standard GARCH model to the class of polynomial
augmented
GARCH
models which contains many commonly employed … ; polynomial
augmented
GARCH
models ; quasi- maximum likelihood estimation …
Persistent link: https://www.econbiz.de/10009738169
Saved in:
8
Stock market's reactions to revelation of tax evasion: An empirical assessment
Brunhart, Andreas
-
2012
from Liechtenstein. An unconventional
augmented
GARCH
-model (labelled as augmented amalGARCH), which outperforms …
Persistent link: https://www.econbiz.de/10010368150
Saved in:
9
Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional
augmented
GARCH
-approach
Brunhart, Andreas
-
2011
augmented
GARCH
-model to analyse the dynamical pattern and other influences on the risk measured by the conditional variance of …
Persistent link: https://www.econbiz.de/10010281963
Saved in:
10
Stock market’s reactions to revelation of tax evasion: an empirical assessment
Andreas, Brunhart
-
Volkswirtschaftliche Fakultät, …
-
2011
banks from Liechtenstein. An “unconventional”
augmented
GARCH
-model (labelled as “augmented amalGARCH”), which outperforms …
Persistent link: https://www.econbiz.de/10011259740
Saved in:
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