scientific article; zbMATH DE number 1987697
From MaRDI portal
Publication:4429917
Recommendations
Cited in
(42)- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Statistical methods in finance
- Functional linear regression with functional response
- Financial econometrics: Past developments and future challenges
- Econometric analysis of financial derivatives: an overview
- A selective overview of nonparametric methods in financial econometrics
- Dynamic optimization models in finance: some extensions to the framework, models, and computation
- A Hausman test for Brownian motion
- Testing the capital asset pricing model with local maximum likelihood methods
- Econometric specification of stochastic discount factor models
- Multivariate Jacobi process with application to smooth transitions
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Volatility estimation based on high-frequency data
- Modeling Financial Time Series with S-PLUS®
- Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
- Financial econometrics. From basics to advanced modeling techniques.
- The Volatility of Realized Volatility
- scientific article; zbMATH DE number 5373743 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- Discrete time series, processes, and applications in finance.
- A discrete-time model of high-frequency stock returns
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- scientific article; zbMATH DE number 1827068 (Why is no real title available?)
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- Jianqing Fan: Methodology and Insight in Statistics, Financial Crisis, High Dimensional Challenges
- Financial Economics and Econometrics
- Financial econometrics. Methods and models
- Forecasting realised volatility using ARFIMA and HAR models
- Simulation-based Value-at-Risk for nonlinear portfolios
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- scientific article; zbMATH DE number 2221037 (Why is no real title available?)
- Analysis of Financial Time Series
- Two-sample least squares projection
- A review of INMA integer-valued model class, application and further development
- Hadamard states on spherically symmetric characteristic surfaces, the semi-classical Einstein equations and the Hawking effect
- Statistics of financial markets. An introduction.
- Realized Quantiles*
- Decision technologies for computational finance. Proceedings of the fifth international conference computational finance, London, GB, December 1997.
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
- Functional modelling of volatility in the Swedish limit order book
- Parametric and nonparametric models and methods in financial econometrics
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4429917)