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A long memory property of stock market returns and a new model

Ding, Zhuanxin; Granger, C. W. J.; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841643

A long memory property of stock market returns and a new model

Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10001146683

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

Ding, Zhuanxin - 2008

A new representation of the diagonal Vech model is given using the Hadamard product. Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of covariance matrices from the new representation. Based on this, some new and simple models are discussed. A set of...

Persistent link: https://www.econbiz.de/10012768824

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

Ding, Zhuanxin - 2008

A new representation of the diagonal Vech model is given using the Hadamard product.Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of covariance matrices from the new representation. Based on this, some new and simple models are discussed. A set of...

Persistent link: https://www.econbiz.de/10012769020

The Nobel memorial prize for Robert Engle

Diebold, Francis X. (contributor); Engle, Robert F. (honouree) - 2004

Persistent link: https://www.econbiz.de/10003229527

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Persistent link: https://www.econbiz.de/10003861657