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The relationship between stock returns and volatility in international stock markets
Li, Qi; Yang, Jian; Hsiao, Cheng; Chang, Young-jae - In: Journal of empirical finance 12 (2005) 5, pp. 650-665
Persistent link: https://www.econbiz.de/10003190360
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Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
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Bayesian inference on GARCH models using the Gibbs sampler
Bauwens, Luc; Lubrano, Michel - In: The econometrics journal 1 (1998) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001443667
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
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Econometric modelling of stock market intraday activity
Bauwens, Luc; Giot, Pierre - 2001
Persistent link: https://www.econbiz.de/10001584609
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Bayesian option pricing using asymmetric GARCH models
Bauwens, Luc; Lubrano, Michel - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705439
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A new class of multivariate skew densities, with application to GARCH models
Bauwens, Luc; Laurent, Sébastien - 2002
Persistent link: https://www.econbiz.de/10001672395
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Multivariate GARCH models : a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001791482
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[Rezension von: Bauwens, Luc, ...,, Econometric modelling of stock market intraday activity]
Vega, Clara - In: Journal of economic literature 41 (2003) 4, pp. 1294-1296
Persistent link: https://www.econbiz.de/10001991034
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A new class of multivariate skew densities, with application to generalized autoregressive conditionalheteroscedasticity models
Bauwens, Luc; Laurent, Sébastien - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 346-354
Persistent link: https://www.econbiz.de/10003013029