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ARCH-Modell
Modellierung
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Scientific modelling
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Time series analysis
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Volatility
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Nonlinear regression
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Teräsvirta, Timo
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Dziubinski, Matt
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CREATES research paper
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ECONIS (ZBW)
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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
Saved in:
2
First and second order non-linear cointegration models
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849457
Saved in:
3
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
4
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
5
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779686
Saved in:
6
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779696
Saved in:
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