Pages that link to "Item:Q2270553"

The following pages link to Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553):

Displaying 23 items.

• Modelling volatility by variance decomposition (Q71677) (← links)
• Fractionally integrated time varying GARCH model (Q257572) (← links)
• Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
• Bayesian non-parametric mixtures of GARCH(1,1) models (Q454766) (← links)
• Powerful tests for structural changes in volatility (Q528175) (← links)
• Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
• TVICA -- time varying independent component analysis and its application to financial data (Q1623451) (← links)
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521) (← links)
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604) (← links)
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
• Adaptive realized hyperbolic GARCH process: stability and estimation (Q2138236) (← links)
• Analysis of shares frequency components on daily value-at-risk in emerging and developed markets (Q2163912) (← links)
• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation (Q2219432) (← links)
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations (Q2255776) (← links)
• Forecasting a long memory process subject to structural breaks (Q2453079) (← links)
• Marginal likelihood for Markov-switching and change-point GARCH models (Q2512618) (← links)
• A novel time-varying FIGARCH model for improving volatility predictions (Q2669287) (← links)
• A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
• Testing constancy of unconditional variance in volatility models by misspecification and specification tests (Q2691672) (← links)
• Time-varying persistence of inflation: evidence from a wavelet-based approach (Q2691719) (← links)
• Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
• ON MIXTURE MEMORY GARCH MODELS (Q5408110) (← links)
• (Q6122009) (← links)