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Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
Giot, Pierre; Laurent, Sébastien - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706602
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Multivariate GARCH models and their Estimation
Bauwens, L.; Laurent, S.; Peters, J.P.; Rombouts, J. - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345454
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A New Class of Multivariate skew Densities, with Application to GARCH Models
Bauwens, Luc; Laurent, Sébastien - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537684
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Adaptive Polar Sampling
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van; … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706627