scientific article
From MaRDI portal
Publication:4015733
zbMath0850.62894MaRDI QIDQ4015733
George Tauchen, David A. Hsieh, A. Ronald Gallant
Publication date: 16 January 1993
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items
Joint and marginal specification tests for conditional mean and variance models, A Gaussian approximation scheme for computation of option prices in stochastic volatility models, Stochastic volatility in asset prices. Estimation with simulated maximum likelihood, Granger causality in risk and detection of extreme risk spillover between financial markets, Nonparametric estimation of structural models for high-frequency currency market data, Estimating continuous-time stochastic volatility models of the short-term interest rate, AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM, Estimation of stochastic volatility models with diagnostics, Qualitative and asymptotic performance of SNP density estimators, Volume, volatility, and leverage: A dynamic analysis, Assessing the bias of maximum likelihood estimates of contaminated garch models, Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution, ARCH modeling in finance. A review of the theory and empirical evidence, Prediction in dynamic models with time-dependent conditional variances, Sieve semiparametric two-step GMM under weak dependence, Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model, A test for volatility spillover with application to exchange rates, A generalized bivariate mixture model for stock price volatility and trading volume, Testing the martingale difference hypothesis using integrated regression functions, Overparameterization in the seminonparametric density estimation, Explaining bond returns in heterogeneous agent models: The importance of higher-order moments, Cross-validated SNP density estimates, Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns