Similar Search Results - EconBiz

Range-based covariance estimation using high-frequency data : the realized co-range

Bannouh, Karim (contributor); Dijk, Dick van (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003754160

How non-normal is US output?

Franke, Reiner - In: Nonlinear economic dynamics and financial modelling : …, (pp. 135-159). 2014

Persistent link: https://www.econbiz.de/10011286589

Time-spectral density and wavelets approaches : comparative study ; applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic modelling 31 (2013), pp. 460-466

Persistent link: https://www.econbiz.de/10009730816

What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models

Glabadanidis, Paskalis - 2017

This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three-factor model, and the Carhart (1997) four-factor model...

Persistent link: https://www.econbiz.de/10012949435

Higher moments in the fundamental specification of electricity forward prices

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078

Persistent link: https://www.econbiz.de/10013490922

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Flexible modeling of conditional distributions using smooth mixtures of asymmetric student T densities

Li, Feng; Villani, Mattias; Kohn, Robert - 2009

Chain Monte Carlo ; Mixture of Experts ; Variable selection ; Volatility modeling …

Persistent link: https://www.econbiz.de/10003896094

Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013

Persistent link: https://www.econbiz.de/10010191411

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623

Persistent link: https://www.econbiz.de/10010370491

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