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Spurious and hidden volatility
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2004 - [Elektronische Ressource], 1. ed.
Persistent link: https://www.econbiz.de/10002440961
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Persistence and kurtosis in GARCH and stochastic volatility models
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 319-342
Persistent link: https://www.econbiz.de/10002214313
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Estimating GARCH volatility in the presence of outliers
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Economics letters 114 (2012) 1, pp. 86-90
Persistent link: https://www.econbiz.de/10009517276
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Estimating and forecasting GARCH volatility in the presence of outliers
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2008
Persistent link: https://www.econbiz.de/10003871607
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A conditionally heteroskedastic independent factor model with an application to financial stock returns
García-Ferrer, Antonio; González-Prieto, Ester; … - In: International journal of forecasting 28 (2012) 1, pp. 70-93
Persistent link: https://www.econbiz.de/10009582082