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Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Transformed regression-based long-horizon predictability tests
Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37
Persistent link: https://www.econbiz.de/10014471812
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Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence
Ñíguez, Trino-Manuel (contributor);  … - 2003 - 1. ed. [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002115948
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele (contributor);  … - 2003 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001739262
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Modelización de la volatilidad del tipo de interés a corto plazo
Benito, Francisca (contributor);  … - 2002 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001713842
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Volatility and VAR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria
Ñíguez, Trino-Manuel (contributor) - 2003 - 1. ed. [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002115963
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Multivariate ARCH models : finite sample properties of ML estimators and an application to a LM-type test
Iglesias, Emma M. (contributor);  … - 2004 - [Elektronische Ressource], 1. ed.
Persistent link: https://www.econbiz.de/10002201054