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Aggregation and memory of models of changing volatility

Zaffaroni, Paolo - In: Journal of econometrics 136 (2007) 1, pp. 237-250

Persistent link: https://www.econbiz.de/10007391031

STATIONARITY AND MEMORY OF ARCH((infinity)) MODELS

Zaffaroni, Paolo - In: Econometric theory 20 (2004) 1, pp. 147-160

Persistent link: https://www.econbiz.de/10006965153

Model averaging in risk management with an application to futures markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - In: Journal of empirical finance 16 (2009) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10008896127

Whittle estimation of EGARCH and other exponential volatility models

Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-201

Persistent link: https://www.econbiz.de/10008899320

Whittle estimation of EGARCH and other exponential volatility models

Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190

Persistent link: https://www.econbiz.de/10008280352

Can aggregation explain the persistence of inflation?

Altissimo, Filippo; Mojon, Benoit; Zaffaroni, Paolo - In: Journal of monetary economics 56 (2009) 2, pp. 231-242

Persistent link: https://www.econbiz.de/10008883040

Can aggregation explain the persistence of inflation?

Altissimo, Filippo; Mojon, Benoit; Zaffaroni, Paolo - In: Journal of monetary economics 56 (2009) 2, pp. 231-241

Persistent link: https://www.econbiz.de/10008232048

The long range dependence paradigm for macroeconomics and finance

Henry, Marc (contributor); Zaffaroni, Paolo (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001655532

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem (contributor); … - 2004

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...

Persistent link: https://www.econbiz.de/10002523934

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem; Zaffaroni, Paolo - 2004

Persistent link: https://www.econbiz.de/10002574365