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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
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Asymmetry and Leverage in Realized Volatility
Asai, Manabu - 2009
A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some confusion between the definitions of asymmetry and leverage. In this paper, we first show the...
Persistent link: https://www.econbiz.de/10013156686
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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Asymmetry and leverage in realized volatility
Asai, Manabu (contributor); McAleer, Michael (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003780794
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Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955246
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Estimating the stochastic discount factor without a utility function
Araújo, Fabio (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002751084
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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Nonparametric entropy-based tests of independence between stochastic processes
Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306
Persistent link: https://www.econbiz.de/10003965134