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Simulation of interest rate options using ARCH

Bianchi, Carlo; Calzolari, Giorgio; Sterbenz, Frederic P. - Volkswirtschaftliche Fakultät, … - 1991

The autoregressive conditional heteroskedasticity (ARCH) estimation procedure provides a specification of the error terms as well as estimates of the coefficients. A simple interest rate equation is estimated using least squares and also using ARCH. Then the stochastic simulation methodology is...

Persistent link: https://www.econbiz.de/10008642711

Constrained EMM and indirect inference estimation

Calzolari, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - 2000

Persistent link: https://www.econbiz.de/10001486774

Constrained indirect inference estimation

Calzolari, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - 2001

Persistent link: https://www.econbiz.de/10001599297

A Tobit model with GARCH errors

Calzolari, Giorgio; Fiorentini, Gabriele - 1997 - 1. ed

Persistent link: https://www.econbiz.de/10000960186

Conditional heteroskedasticity in nonlinear simultaneous equations

Calzolari, Giorgio; Fiorentini, Gabriele - 1994

Persistent link: https://www.econbiz.de/10000151461

On the validity of the jarque-bera normality test in conditionally heteroskedastic synamic regression models

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - 2003

Persistent link: https://www.econbiz.de/10001747011

Indirect estimation of conditionally heteroskedastic factor models

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - 2004

Persistent link: https://www.econbiz.de/10002506337

On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - In: Economics letters 83 (2004) 3, pp. 307-312

Persistent link: https://www.econbiz.de/10002049074

Constrained indirect estimation

Calzolari, Giorgio; Fiorentini, Gabriele - In: The review of economic studies 71 (2004) 4, pp. 945-973

Persistent link: https://www.econbiz.de/10002377654

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - In: Journal of econometrics 146 (2008) 1, pp. 10-25

Persistent link: https://www.econbiz.de/10003778191

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