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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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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000766245
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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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Fitting the moments : a comparison of ARCH and regime switching models for daily stock returns
Sola, Martin; Timmermann, Allan - 1994
Persistent link: https://www.econbiz.de/10000914034
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Cumulative waveletgram test for randomness
Orszag, Jonathan Michael - 1995
Persistent link: https://www.econbiz.de/10000924235
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Estimation and testing in models containing both jumps and conditional heteroskedasticity
Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000904675
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Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach
Psaradakis, Zacharias G.; Sola, Martin - 1995
Persistent link: https://www.econbiz.de/10000906276
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Persistent link: https://www.econbiz.de/10000975058
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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Ein nicht-lineares Zeitreihenmodell für schweizerische Aktienrenditen
Rohner, Marcel - 1993
Persistent link: https://www.econbiz.de/10000872628