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Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuowei; Shek, Howard Howan - 2010
Persistent link: https://www.econbiz.de/10003941851
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959801
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Modelling energy spot prices by Lévy semistationary processes
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959807
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009524097
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009546007
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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano; Proietti, Tommaso - 2011
Persistent link: https://www.econbiz.de/10009006817
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Bredahl Kock, Anders; Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10009267762
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Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo - 2011
Persistent link: https://www.econbiz.de/10008779686