Narrow search
Showing 1 - 10 of 17
Cover Image
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc; Otranto, Edoardo - In: Journal of econometrics 217 (2020) 2, pp. 496-522
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012482819
Cover Image
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang - In: Journal of econometrics 232 (2023) 2, pp. 521-543
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014340096
Cover Image
Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014364807
Cover Image
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010256919
Cover Image
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011499748
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011499783
Cover Image
Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011326796
Cover Image
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011705111
Cover Image
L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011598121
Cover Image
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of econometrics 186 (2015) 1, pp. 258-275
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011349501