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What jump process to use to model S&P500 Returns?
Semenova, Maria (contributor) - 2006
Persistent link: https://www.econbiz.de/10003370382
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User's guide
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1739-1742
Persistent link: https://www.econbiz.de/10001755419
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Conditional Dependency of Financial Series: The Copula-GARCH Model
Jondeau, Eric; Rockinger, Michael - 2002
This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.
Persistent link: https://www.econbiz.de/10005843431
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Conditional volatility, skewness, and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001534321
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000972123
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000981414
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Conditional dependency of financial series : an application of copulas
Rockinger, Michael; Jondeau, Eric - 2001
Persistent link: https://www.econbiz.de/10001575962
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Conditional dependency of financial series : an application of copulas
Rockinger, Michael; Jondeau, Eric - 2001
Persistent link: https://www.econbiz.de/10001564642
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Information content of Russian stock indices
Rockinger, Michael; Urga, Giovanni - 1997
Persistent link: https://www.econbiz.de/10000650309
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410