Narrow search
Showing 1 - 10 of 26
Cover Image
α-stable [Alpha-stable] random vectors with time varying spectral measure and applications to financial time series analysis
Hartz, Christoph - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003716514
Cover Image
Forecasting financial time series : normal GARCH with outliers or heavy tailed distribution assumptions?
Hartz, Christoph; Paolella, Marc S. - 2011
The use of GARCH models is widely used as an effective method for capturing the volatility clustering inherent in financial returns series. The residuals from such models are however often non-Gaussian, and two methods suggest themselves for dealing with this; outlier removal, or use of...
Persistent link: https://www.econbiz.de/10009375155
Cover Image
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
Mittnik, Stefan - In: Journal of economic dynamics & control 15 (1991) 4, pp. 731-740
Persistent link: https://www.econbiz.de/10001111238
Cover Image
Alternative methods for multivariate time series analysis with applications to US money-output data
Mittnik, Stefan - 1987
Persistent link: https://www.econbiz.de/10000775562
Cover Image
Detecting asymmetries in observed time serien and unobserved disturbances
Kurz-Kim, Jeong-Ryeol; Mittnik, Stefan; Račev, Svetlozar T. - 1996
Persistent link: https://www.econbiz.de/10000955840
Cover Image
Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
Cover Image
Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
Cover Image
Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
Mittnik, Stefan - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 857-870
Persistent link: https://www.econbiz.de/10001147139
Cover Image
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger - 1996
Persistent link: https://www.econbiz.de/10001410584
Cover Image
Statistical inference in time series with unit root in the presence of infinite-variance disturbances
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10001410603