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Probabilistic properties of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009
Persistent link: https://www.econbiz.de/10003833954
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Extremes of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 355-364). 2009
Persistent link: https://www.econbiz.de/10003833971
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Handbook of financial time series
Andersen, Torben (ed.); Davis, Richard A. (ed.);  … - 2009
Persistent link: https://www.econbiz.de/10003494231
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Stock market risk-return inference : an unconditional non-parametric approach
Mikosch, Thomas; Starica, Catalin - 2005
Persistent link: https://www.econbiz.de/10002789961
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330