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Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

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Three essays on modeling conditional correlation

Sheppard, Kevin - 2004

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Normal log-normal mixture, leptokurtosis and skewness

Yang, Minxian - In: Applied economics letters 15 (2008) 7/9, pp. 737-742

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Financial risk management with bayesian estimation of GARCH models : theory and applications

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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

Ardia, David (contributor) - 2008

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …

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Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...

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Estimating the spot covariation of asset prices : statistical theory and empirical evidence

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New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

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