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~subject:"ARCH-Modell"
~subject:"Risk premium"
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ARCH-Modell
Risk premium
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CREATES research paper
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ECONIS (ZBW)
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First and second order non-linear cointegration models
Lange, Theis
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2009
Persistent link: https://www.econbiz.de/10003849457
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2
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
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2009
Persistent link: https://www.econbiz.de/10003849492
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3
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
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4
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779686
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5
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779696
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6
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
7
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
8
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
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