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Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

Garch and irregularly spaced data

Meddahi, Nour (contributor); Renault, Eric (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001774184

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10001956326

Testing for common conditionally heteroskedastic factors

Dovonon, Prosper; Renault, Eric - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 6, pp. 2561-2586

Persistent link: https://www.econbiz.de/10010237396

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10003275843

Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - 2016

Persistent link: https://www.econbiz.de/10011453604

Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - In: Journal of econometrics 201 (2017) 2, pp. 212-227

Persistent link: https://www.econbiz.de/10011918705

GARCH and Irregularly Spaced Data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - 2004

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied

Persistent link: https://www.econbiz.de/10014071554

GARCH for irregularly spaced financial data : the ACD-GARCH model

Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149

Persistent link: https://www.econbiz.de/10001769687