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A nonlinear moving average test as a robust test for ARCH
Tolvi, Jussi - 1999
Persistent link: https://www.econbiz.de/10001434266
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Asymptotics for nonlinear transformations of integrated time series
Park, Joon Y.; Phillips, Peter C. B. - In: Econometric theory 15 (1999) 3, pp. 269-298
Persistent link: https://www.econbiz.de/10001434300
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Futures hedging and stochastic volatility
Lien, Da-hsiang Donald - In: Advances in futures and options research : a research annual 10 (1999), pp. 253-265
Persistent link: https://www.econbiz.de/10001434836
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Capital structure under stochastic interest rates : an empirical investigation of the Midwestern agricultural cooperative
Parcell, Joseph L.; Featherstone, Allen M.; Barton, David G. - In: Agricultural finance review 58 (1998), pp. 49-61
Persistent link: https://www.econbiz.de/10001435229
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Efficient estimation of the stochastic volatility model by the empirical characteristic function method
Knight, John L.; Satchell, Stephen; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435264
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Estimation of a self-exciting poisson jump diffusion model by the empirical characteristic function method
Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435268
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Empirical characteristic function in time series estimation
Knight, John L.; Yu, Jun - 1999
Persistent link: https://www.econbiz.de/10001435272
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Of smiles and smirks : a term structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
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Bounded vs. unbounded noise in efficiency estimation: performance of alternative estimators
Gstach, Dieter - In: Data envelopment analysis in the service sector, (pp. 103-119). 1999
Persistent link: https://www.econbiz.de/10001437204
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Stochastic permanent breaks
Engle, Robert F.; Smith, Aaron D. - In: The review of economics and statistics 81 (1999) 4, pp. 553-574
Persistent link: https://www.econbiz.de/10001437341