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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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Die verallgemeinerte Momentenmethode : Darstellung und Anwendung
Becker, Ralf - 1998
Persistent link: https://www.econbiz.de/10000988652
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Die verallgemeinerte Momentenmethode (Generalized Method of Moments - GMM) : Darstellung und Anwendung
Becker, Ralf - 1998
In dieser Arbeit wird die Schätzmethode der Verallgemeinerten Momente (Generalized Method of Moments - GMM) vorgestellt. Neben der formalen Darstellung wird besonderes Augenmerk auf die notwendige Schätzung der Gewichtungsmatrix und auf Testmethoden im Rahmen der GMM gelegt. Anhand einer...
Persistent link: https://www.econbiz.de/10010489372
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The impact of monetary policy in the UK on the relationship between the term structure of interest rates and future inflation
Bårdsen, Gunnar; Becker, Ralf; Hurn, Stan - In: Contemporary issues in economics and econometrics : …, (pp. 147-161). 2004
Persistent link: https://www.econbiz.de/10002544738
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Weighted smooth transition regressions
Becker, Ralf; Osborn, Denise R. - In: Journal of applied econometrics 27 (2012) 5, pp. 795-811
Persistent link: https://www.econbiz.de/10010219730
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Measuring the Chinese business cycle
Becker, Ralf; Wang, Yuanyuan - In: Applied economics 45 (2013) 28/30, pp. 3988-4003
Persistent link: https://www.econbiz.de/10010345805
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Modeling and forecasting realized volatility : getting the most out of the jump component
Clements, Adam; Liao, Yin - 2013
Persistent link: https://www.econbiz.de/10009789511
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HACking at non-linearity : evidence from stocks and bonds
Bianchi, Robert J. (contributor); Clements, Adam (contributor) - 2009
Persistent link: https://www.econbiz.de/10003799348
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On the economic benefit of utility based estimation of a volatility model
Clements, Adam; Silvennoinen, Annastiina - 2009
Persistent link: https://www.econbiz.de/10003880634
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Do common volatility models capture cyclical behaviour in volatility?
Clements, Adam; Collet, Jérôme - In: Applied financial economics 18 (2008) 7/9, pp. 599-604
Persistent link: https://www.econbiz.de/10003739247