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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023
Persistent link: https://www.econbiz.de/10014281687
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A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
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Asymptotic theory for the QMLE in GARCH-X models with stationary and nonstationary covariates
Han, Heejoon; Kristensen, Dennis - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 416-429
Persistent link: https://www.econbiz.de/10010488481
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QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation
Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10010489087
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016
Persistent link: https://www.econbiz.de/10011589493
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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
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Multi-factor default correlation model estimation : enhancement with bootstrapping
Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10014487316
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Estimating regression systems from unbalanced panel data : a stepwise maximum likelihood procedure
Biørn, Erik (contributor) - 1999 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001536253