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Naira-Dollar exchange rate volatility modeling using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)
Olarewaju, Odunayo Magret; Olasehinde, Timilehin John - In: EuroEconomica 36 (2017) 2, pp. 106-116
Persistent link: https://www.econbiz.de/10011798639
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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
Boscher, Hans; Fronk, Eva-Maria; Pigeot, Iris - In: Statistical papers 41 (2000) 4, pp. 409-422
Persistent link: https://www.econbiz.de/10001523628
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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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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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR
Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10011587802
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Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure
Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011716067
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On regression-based tests for persistence in logarithmic volatility models
Psaradakis, Zacharias G.; Tzavalis, Elias - In: Econometric reviews 18 (1999) 4, pp. 441-448
Persistent link: https://www.econbiz.de/10001413477
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Bayesian inference on mixture-of-experts for estimation of stochastic volatility
Villagran, Alejandro; Huerta, Gabriel - 2006
Persistent link: https://www.econbiz.de/10003350108