Pages that link to "Item:Q1185104"
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The following pages link to ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104):
Displayed 50 items.
- A note on intraday foreign exchange volatility and the informational role of quote arrivals (Q672930) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- Intraday empirical analysis and modeling of diversified world stock indices (Q853868) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Inventory control under temporal demand heteroscedasticity (Q879290) (← links)
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
- On the tvGARCH(1,1) model: existence, CLT, and tail index (Q946794) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435) (← links)
- Mixture transition distribution (MTD) modeling of heteroscedastic time series (Q951799) (← links)
- On robust testing for conditional heteroscedasticity in time series models (Q956923) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test (Q959435) (← links)
- Properties of equilibrium asset prices under alternative learning schemes (Q959726) (← links)
- A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
- On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
- Fractal market hypothesis and two power-laws (Q997475) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
- Volume, volatility, and leverage: A dynamic analysis (Q1126500) (← links)
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- Prediction in dynamic models with time-dependent conditional variances (Q1185107) (← links)
- Adaptive estimation in time series regression models (Q1203090) (← links)
- Computation as economics (Q1274205) (← links)
- Forecasting exchange rate volatility using conditional variance models selected by information criteria (Q1274416) (← links)
- Rationality testing under asymmetric loss (Q1274785) (← links)
- A test of conditional heteroscedasticity in time series (Q1283077) (← links)
- Econophysics: Scaling and its breakdown in finance (Q1285113) (← links)
- A comparison of the power of some tests for conditional heteroscedasticity (Q1285811) (← links)
- Extremes of stochastic volatility models (Q1296598) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Distribution theory for unit root tests with conditional heteroskedasticity (Q1298480) (← links)
- Nonparametric vector autoregression (Q1299541) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
- Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model (Q1327978) (← links)
- Autoregressive conditional heteroskedasticity and changes in regime (Q1341198) (← links)
- Quasi-maximum likelihood estimation of stochastic volatility models (Q1341214) (← links)
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence (Q1342771) (← links)
- Nonparametric estimation of structural models for high-frequency currency market data (Q1347106) (← links)
- Heterogeneous beliefs, wealth accumulation, and asset price dynamics (Q1350469) (← links)
- Modeling the changing asymmetry of conditional variances (Q1351734) (← links)
- Testing stationarity for stock market data (Q1351737) (← links)
- The likelihood of various stock market return distributions. I: Principles of inference (Q1360231) (← links)