| Stationary, mixing, distributional properties and moments of GARCH (p,q)-processes
|
2009 |
Lindner, Alexander M. |
| ARCH (∞) models and long memory properties
|
2009 |
Giraitis, Liudas |
| A tour in the asymptotic theory of GARCH estimation
|
2009 |
Francq, Christian |
| Probabilistic properties of stochastic volatility models
|
2009 |
Davis, Richard A. |
| Moment-based estimation of stochastic volatility models
|
2009 |
Renault, Eric |
| Stochastic volatility models with long memory
|
2009 |
Hurvich, Clifford M. |
| Ornstein-Uhlenbeck processes and extensions
|
2009 |
Maller, Ross A. |
| Jump-type Lévy processes
|
2009 |
Eberlein, Ernst |
| Continuous time approximations to GARCH and stochastic volatility models
|
2009 |
Lindner, Alexander M. |
| Different kinds of risk
|
2009 |
Embrechts, Paul |
| Structural breaks in financial time series
|
2009 |
Andreou, Elena |
| Modelling financial high frequency data using point processes
|
2009 |
Bauwens, Luc |
| Multivariate GARCH models
|
2009 |
Silvennoinen, Annastiina |
| Parameter estimation and practical aspects of modeling stochastic volatility
|
2009 |
Jungbacker, Borus |
| Multivariate stochastic volatility
|
2009 |
Chib, Siddhartha |
| Maximum likelihood and Gaussian estimation of continuous time models in finance
|
2009 |
Phillips, Peter C. B. |
| Cointegration: overview and development
|
2009 |
Johansen, Søren |
| Time series with roots on or near the unit circle
|
2009 |
Chan, Ngai Hang |
| Value-at-risk models
|
2009 |
Christoffersen, Peter F. |
| Evaluating volatility and correlation forecasts
|
2009 |
Patton, Andrew J. |
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