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GARCH for Irregularly Spaced Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997
We develop a class of ARCH models for series sampled at unequal time intervals set by trade or quote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed by Drost and Nijman (1993) and Drost and Werker (1994), and the autoregressive conditional...
Persistent link: https://www.econbiz.de/10005100975
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Stochastic volatility and time deformation : an application of trading volume and leverage effects
Ghysels, Eric; Jasiak, Joann - 1994
Persistent link: https://www.econbiz.de/10000898668
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1997
Persistent link: https://www.econbiz.de/10000980453
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Trading patterns, time deformation and stochastic volatility in foreign exchange markets
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996
Persistent link: https://www.econbiz.de/10000952887
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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001380657
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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - In: Econometric reviews 20 (2001) 4, pp. 385-424
Persistent link: https://www.econbiz.de/10001620897
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10001769687
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The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian; Jasiak, Joann; Sufana, Razvan - 2004
Persistent link: https://www.econbiz.de/10002597955
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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Size distortion in the analysis of volatility and covolatility effects
Gouriéroux, Christian; Jasiak, Joann - In: Uncertainty analysis in econometrics with applications …, (pp. 91-118). 2013
Persistent link: https://www.econbiz.de/10009711160