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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina; Teräsvirta, Timo - 2015
Persistent link: https://www.econbiz.de/10011373232
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Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014
Persistent link: https://www.econbiz.de/10010433252
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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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
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - 2012
Persistent link: https://www.econbiz.de/10009667400
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009546007
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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779686
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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779696