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~subject:"ARCH model"
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ARCH model
Theorie
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61
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57
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54
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multivariate GARCH
14
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Wolf, Michael
17
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16
Politis, Dimitris N.
14
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7
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7
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4
Vrontos, I. D.
3
Vrontos, Ioannis D.
3
Chen, Jie
2
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2
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Model-free volatility prediction
Politis, Dimitris N.
-
2003
Persistent link: https://www.econbiz.de/10002118468
Saved in:
5
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
Saved in:
6
A multivariate heavy-tailed distribution for arch/garch residuals
Politis, Dimitris N.
-
2006
Persistent link: https://www.econbiz.de/10003331370
Saved in:
7
A heavy-tailed distribution for ARCH residuals with application to volatility prediction
Politis, Dimitris N.
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10003761413
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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