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Testing of binary regime switching models using squeeze duration analysis
Das, Milan Kumar; Goswami, Anindya - In: International journal of financial engineering 6 (2019) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10012028860
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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719
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Autoregressive conditional heteroscedasticity and theories of inflation
Bairam, Erkin İbrahim - 1992
Persistent link: https://www.econbiz.de/10000836505
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Autoregressive conditional heteroscedasticity and USA inflation
Bairam, Erkin İbrahim - 1992
Persistent link: https://www.econbiz.de/10000836507
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Moving average conditional heteroscedastic processes
Yang, Minxian; Bewley, Ronald A. - 1992
Persistent link: https://www.econbiz.de/10000840782
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On the relation between GARCH and stable processes
Vries, Casper G. de - 1990
Persistent link: https://www.econbiz.de/10000791413
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A local scale model : an unobserved component alternative to integrated garch processes
Shephard, Neil G. - 1990
Persistent link: https://www.econbiz.de/10000804115
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ARCH models as diffusion approximations
Nelson, Daniel B. - 1988
Persistent link: https://www.econbiz.de/10000766242
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000766245
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Stationarity and persistence in the GARCH (1,1) model
Nelson, Daniel B. - 1988 - Rev
Persistent link: https://www.econbiz.de/10000766332