Pages that link to "Item:Q3210032"
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The following pages link to Conditional Heteroskedasticity in Asset Returns: A New Approach (Q3210032):
Displaying 50 items.
- Properties and estimation of asymmetric exponential power distribution (Q97355) (← links)
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- On leverage in a stochastic volatility model (Q262831) (← links)
- Density expansions of extremes from general error distribution with applications (Q264356) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Matrix exponential GARCH (Q278044) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses (Q280218) (← links)
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- Asymptotic properties for distributions and densities of extremes from generalized gamma distribution (Q287393) (← links)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
- Long-run risk-return trade-offs (Q291124) (← links)
- The common and specific components of dynamic volatility (Q291638) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk (Q300078) (← links)
- Assessing value at risk with CARE, the conditional autoregressive expectile models (Q302198) (← links)
- Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- A new approach to model financial markets (Q394485) (← links)
- Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes (Q397230) (← links)
- Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328) (← links)
- Rates of convergence of extreme for general error distribution under power normalization (Q419250) (← links)
- Computational tools for comparing asymmetric GARCH models via Bayes factors (Q419441) (← links)
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725) (← links)
- Stochastic volatility in mean models with heavy-tailed distributions (Q447982) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- RCA model with quadratic GARCH innovation distribution (Q452958) (← links)
- Asymptotic expansions of the moments of extremes from general error distribution (Q465210) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Auto-regressive moving-average discrete-time dynamical systems and autocorrelation functions on real-valued Riemannian matrix manifolds (Q478767) (← links)
- Slope influence diagnostics in conditional heteroscedastic time series models (Q481421) (← links)
- The generalized lognormal distribution and the Stieltjes moment problem (Q482793) (← links)
- Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
- A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation (Q528082) (← links)
