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Stationary of stable power-GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-107
Persistent link: https://www.econbiz.de/10001633694
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of econometrics 172 (2013) 2, pp. 292-306
Persistent link: https://www.econbiz.de/10010063356
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of econometrics 172 (2013) 2, pp. 292-306
Persistent link: https://www.econbiz.de/10009706200
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Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
Braun, Phillip A.; Mittnik, Stefan - In: Journal of econometrics 59 (1993) 3, pp. 319-342
Persistent link: https://www.econbiz.de/10006805244
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Stationarity of stable power-GARCH processes
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Journal of econometrics 106 (2002) 1, pp. 97-108
Persistent link: https://www.econbiz.de/10006770265