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Unbiased QML estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - 2013
Persistent link: https://www.econbiz.de/10010476962
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Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc (contributor); Rime, Dagfinn (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003292873
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Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc (contributor); Rime, Dagfinn (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003155180
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Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc; Rime, Dagfinn; Sucarrat, Genaro - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 889-911
Persistent link: https://www.econbiz.de/10003233824
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Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Volatility estimation when the zero-process is nonstationary
Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10013540630