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Estimating the functional components of asset price volatilities
Heid, Frank - 1997
Persistent link: https://www.econbiz.de/10000978817
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A simple regime-switching model for stochastic volatilities
Christopeit, Norbert - 1997
Persistent link: https://www.econbiz.de/10000982947
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Long-memory in volatilities of German stock returns
Sibbertsen, Philipp - 2001
Persistent link: https://www.econbiz.de/10001675715
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SPECTRAN, a set of Matlab programs for spectral analysis
Marczak, Martyna; Gómez, Víctor - 2012
Spectral analysis is one of the most important areas of time series econometrics. The use of spectral measures is widespread in different science fields such as economics, physics, engineering, geology. The SPECTRAN toolbox has been developed to facilitate the application of spectral concepts to...
Persistent link: https://www.econbiz.de/10009666521
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Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
Persistent link: https://www.econbiz.de/10001813104
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Nonlinear time series models in empirical finance
Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10001484071
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Stock market overreaction and fundamental valuation : theory and empirical evidence
Külpmann, Mathias - 2002
Persistent link: https://www.econbiz.de/10001607573
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Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - 2007
Persistent link: https://www.econbiz.de/10003729191
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Volume and the nonlinear dynamics of stock returns
Hsu, Chiente - 1998
Persistent link: https://www.econbiz.de/10013278146
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Latin America's integration processes in the light of the EU's experience with EMU
Temprano Arroyo, Heliodoro - 2002
Persistent link: https://www.econbiz.de/10013446425