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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201
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Moving average conditional heteroscedastic processes
Yang, Minxian; Bewley, Ronald A. - 1992
Persistent link: https://www.econbiz.de/10000840782
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On the relation between GARCH and stable processes
Vries, Casper G. de - 1990
Persistent link: https://www.econbiz.de/10000791413
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ARCH models as diffusion approximations
Nelson, Daniel B. - 1988
Persistent link: https://www.econbiz.de/10000766242
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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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ARCH models as diffusion approximations
Nelson, Daniel B. - 1990 - Rev. version of WP 88-69
Persistent link: https://www.econbiz.de/10000811121
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A note on the normalized errors in ARCH and stochastic volatility models
Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000899491
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A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
Fornari, Fabio; Mele, Antonio - 2001
Persistent link: https://www.econbiz.de/10001581711
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An application of the stochastic garch in mean model to risk premia in the London metal exchange
Hall, Stephen G. - 1990
Persistent link: https://www.econbiz.de/10000130882
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Trade versus time series based volatility forecasts : evidence from the Austrian stock market
Lehar, Alfred; Scheicher, Martin; Strobl, Günter - In: Financial markets and portfolio management 15 (2001) 4, pp. 500-515
Persistent link: https://www.econbiz.de/10001866059