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APARCH model augmented with explanatory variables
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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subject:"endogenous covariates"
(13 results)
1
Qml inference for volatility models with covariates
Francq, Christian
;
Thieu, Le Quyen
-
Volkswirtschaftliche Fakultät, …
-
2015
asymmetric GARCH models with
exogenous
covariates
. The true value of the parameter is not restricted to belong to the interior of …
Persistent link: https://www.econbiz.de/10011210479
Saved in:
2
Modeling corporate defaults : poisson autoregressions with
exogenous
covariates
(PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
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