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Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro) : the GARCH-NIG model
Forsberg, Lars; Bollerslev, Tim - In: Journal of applied econometrics 17 (2002) 5, pp. 535-548
Persistent link: https://www.econbiz.de/10001709314
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A simple linear time series model with misleading nonlinear properties
Eklund, Bruno; Eklund, Bruno; Lyhagen, Johan - 1999
Persistent link: https://www.econbiz.de/10001394200
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An ARCH robust STAR test
Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - 1999
Persistent link: https://www.econbiz.de/10001394208