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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, Peter R.; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-890
Persistent link: https://www.econbiz.de/10006956920
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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - In: Journal of applied econometrics 29 (2014) 5, pp. 774-799
Persistent link: https://www.econbiz.de/10010414850
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A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664
Persistent link: https://www.econbiz.de/10006966137
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On the forecasting accuracy of multivariate GARCH models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of applied econometrics 27 (2012) 6, pp. 934-956
Persistent link: https://www.econbiz.de/10010022054
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Jumps, cojumps and macro announcements
Lahaye, Jérôme; Laurent, Sébastien; Neely, Christopher J. - In: Journal of applied econometrics 26 (2011) 6, pp. 893-922
Persistent link: https://www.econbiz.de/10009290257
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664
Persistent link: https://www.econbiz.de/10001843499
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Bridging the gap between OX and Gauss using OxGauss
Laurent, Sébastien; Urbain, Jean-Pierre - In: Journal of applied econometrics 20 (2005) 1, pp. 131-139
Persistent link: https://www.econbiz.de/10003027446
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Multivariate GARCH models: a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V.K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10006955386
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Bridging the gap between Ox and Gauss using OxGauss
Laurent, Sébastien; Urbain, Jean-Pierre - In: Journal of applied econometrics 20 (2005) 1, pp. 131
Persistent link: https://www.econbiz.de/10006956052