Search Results - subject:"conditional heteroscedasticity"

Volatility effect of ETFs on the constituents of the underlying Taiwan 50 index

Lin, Ching-chung; Chiang, Min-Hsien - In: Applied financial economics 15 (2005) 18, pp. 1315-1322

Persistent link: https://www.econbiz.de/10003229125

Measuring common cyclical features during financial turmoil : evidence of interdependence not contagion

Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - In: Journal of international money and finance 24 (2005) 8, pp. 1317-1334

Persistent link: https://www.econbiz.de/10003229309

Modeling, valuation and risk management of commodity derivates

Toivonen, Harri - 2005

Persistent link: https://www.econbiz.de/10003202476

Modeling time series information into option prices : an empirical evaluation of statistical projection and GARCH option pricing model

Chen, An-sing; Leung, Mark T. - In: Journal of banking & finance 29 (2005) 12, pp. 2947-2969

Persistent link: https://www.econbiz.de/10003203805

Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study

Pauly, Ralf; Kosater, Peter - 2005 - Preliminary version

Persistent link: https://www.econbiz.de/10003204016

Artificial regression testing in the GARCH-in-mean model

Lucchetti, Riccardo; Rossi, Eduardo - In: The econometrics journal 8 (2005) 3, pp. 306-322

Persistent link: https://www.econbiz.de/10003209125

La dynamique des la volatilité à très haute fréquence des taux longs euro

Lespagnol, Charlotte; Teïletche, Jérôme - In: Finance : revue de l'Association Française de Finance 26 (2005) 2, pp. 87-128

Persistent link: https://www.econbiz.de/10003280421

The effect of the GARCH (1,1) on autocorrelation tests in dynamic systems of equations

Mantalos, Panagiotis; Shukur, Ghazi - In: Applied economics 37 (2005) 16, pp. 1907-1913

Persistent link: https://www.econbiz.de/10003142938

Pricing American options when the underlying asset follows GARCH processes

Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611

Persistent link: https://www.econbiz.de/10003144806

Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH(p,q) process

Zadrozny, Peter A. - 2005

A univariate GARCH(p,q) process is quickly transformed to a univariate autoregressive moving-average process in squares of an underlying variable. For positive integer m, eigenvalue restrictions have been proposed as necessary and sufficient restrictions for existence of a unique mth moment of...

Persistent link: https://www.econbiz.de/10003147684