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Estimation of Log-GARCH Models...
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ECONIS (ZBW)
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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
Saved in:
2
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
Saved in:
3
Nonlinear error correction : the case of money demand in the United Kingdom (1878-2000)
Escribano, Álvaro
- In:
Macroeconomic dynamics
8
(
2004
)
1
,
pp. 76-116
Persistent link: https://www.econbiz.de/10001930635
Saved in:
4
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
(
contributor
);
Rime, Dagfinn
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003155180
Saved in:
5
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
(
contributor
);
Rime, Dagfinn
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003292873
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Improved gradient scaling for score-driven filters with an application to stock market volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Ayala, Astrid
-
2025
Persistent link: https://www.econbiz.de/10015396160
Saved in:
10
Anthropogenic effects of climate change : further evidence from a fractionally integrated ice-age model
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2024
Persistent link: https://www.econbiz.de/10015110731
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