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A heavy-tailed distribution for ARCH residuals with application to volatility prediction
Politis, Dimitris N. - In: Annals of economics and finance 5 (2004) 2, pp. 283-298
Persistent link: https://www.econbiz.de/10002544919
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A multivariate heavy-tailed distribution for arch/garch residuals
Politis, Dimitris N. - 2006
Persistent link: https://www.econbiz.de/10003331370
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A heavy-tailed distribution for ARCH residuals with application to volatility prediction
Politis, Dimitris N. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003761413
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Model-free versus model-based volatility prediction
Politis, Dimitris N. - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 358-389
Persistent link: https://www.econbiz.de/10003518495
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Full Bayesian inference for GARCH and EGARCH models
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 187-198
Persistent link: https://www.econbiz.de/10001469681
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A full-factor multivariate GARCH model
Vrontos, I. D.; Dellaportas, P.; Politis, Dimitris N. - In: The econometrics journal 6 (2003) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10001831255
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Inference for some multivariate ARCH and GARCH models
Vrontos, I. D.; Dellaportas, Petros; Politis, Dimitris N. - In: Journal of forecasting 22 (2003) 6/7, pp. 427-446
Persistent link: https://www.econbiz.de/10001836432
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Model-free volatility prediction
Politis, Dimitris N. - 2003
Persistent link: https://www.econbiz.de/10002118468
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The variance of sample autocorrelations : does Barlett's formula work with ARCH data?
Kokoszka, Piotr S. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003782412
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Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10012300649