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Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie
Brechtmann, Markus - 1998
Persistent link: https://www.econbiz.de/10000675119
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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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The influence of systematic risk factors and econometric adjustments in catastrophic event studies
Cam, Marie-Anne; Ramiah, Vikash - In: Review of quantitative finance and accounting 42 (2014) 2, pp. 171-189
Persistent link: https://www.econbiz.de/10010391717
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Monetary stability and stock returns : a bivariate generalized autoregressive conditional heteroscedasticity modelling study
Zeng, Ning - In: Business and Economic Research : BER 5 (2015) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011347519
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Monetary stability and stock returns : a bivariate generalized autoregressive conditional heteroscedasticity modelling study
Zeng, Ning - In: Inventi impact: emerging economies (2015) 4, pp. 234-255
Persistent link: https://www.econbiz.de/10011455725
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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
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Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - In: International review of financial analysis 89 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001