Narrow search
Showing 1 - 10 of 155
Cover Image
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
BAUWENS, Luc; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010703610
Cover Image
Multivariate GARCH models: a survey
BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675470
Cover Image
Multivariate GARCH models: a survey
BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927172
Cover Image
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
BAUWENS, Luc; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010694208
Cover Image
We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Cover Image
Sparse change-point HAR Models for Realized Variance
Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Econometric reviews 38 (2019) 8, pp. 857-880
Persistent link: https://www.econbiz.de/10012181370
Cover Image
Fast filtering with large option panels : implications for asset pricing
Dufays, Arnaud; Jacobs, Kris; Liu, Yuguo; Rombouts, … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 7, pp. 3416-3447
Persistent link: https://www.econbiz.de/10015156723
Cover Image
Mixed exponential power asymmetric conditional heteroskedasticity
Rombouts, Jeroen V. K.; Bouaddi, Mohammed - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10009513576
Cover Image
Root-T consistent density estimation in GARCH models
Delaigle, Aurore; Meister, Alexander; Rombouts, Jeroen V. K. - In: Journal of econometrics 192 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011610662
Cover Image
Option pricing with asymmetric heteroskedastic normal mixture models
Rombouts, Jeroen V. K.; Stentoft, Lars - In: International journal of forecasting 31 (2015) 3, pp. 635-650
Persistent link: https://www.econbiz.de/10011474435