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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
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A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
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Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
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Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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Time series modelling of daily log-price ranges for SF/USD and USD/GBP
Brunetti, Celso (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719176
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Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
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Finite difference computation of state-prices in termstructure models : with applications to calibration and MBS analysis
Søndergaard Rasmussen, Nicki (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724266
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Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri (contributor) - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
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Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri (contributor) - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132