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Stochastic volatility : selected readings

Shephard, Neil G. (contributor); Shephard, Neil G. (ed.) - 2005

Persistent link: https://www.econbiz.de/10001718768

Stochastic volatility

Shephard, Neil G. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003067547

Martingale unobserved component models

Shephard, Neil G. - 2013

Persistent link: https://www.econbiz.de/10009747434

Martingale unobserved component models

Shephard, Neil G. - 2013

Persistent link: https://www.econbiz.de/10009732804

Non-Stationary and No Moments Asymptotics of the Arch Model

Rahbek, Anders; Jensen, Soren Tolver - 2002

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to existing literature we allow the parameters to be in the region where no stationary version of the process exists

Persistent link: https://www.econbiz.de/10014104835

Bootstrap inference for Hawkes and general point processes

Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; … - In: Journal of econometrics 235 (2023) 1, pp. 133-165

Persistent link: https://www.econbiz.de/10014434387

Poisson autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1430-1440

Persistent link: https://www.econbiz.de/10003992981

Poisson autoregression

Fokianos, Konstantinos (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003788916

Poisson autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - 2009

Persistent link: https://www.econbiz.de/10003849524

Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - In: Journal of empirical finance 38 (2016), pp. 640-663

Persistent link: https://www.econbiz.de/10011663393