| 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. |
| An introduction to regime switching time series models
|
2009 |
Lange, Theis |
| Nonparametric modeling in financial time series
|
2009 |
Franke, Jürgen |
| Semiparametric and nonparametric ARCH modeling
|
2009 |
Linton, Oliver |
| Varying coefficient GARCH models
|
2009 |
Čížek, Pavel |
| Extreme value theory for GARCH processes
|
2009 |
Davis, Richard A. |
| Stochastic volatility: origins and overview
|
2009 |
Shephard, Neil G. |
| Extremes of stochastic volatility models
|
2009 |
Davis, Richard A. |
| Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
|
2009 |
Aït-Sahalia, Yacine |
| Option pricing
|
2009 |
Kallsen, Jan |
| Extremes of continuous-time processes
|
2009 |
Fasen, Vicky |
| Fractional cointegration
|
2009 |
Chen, Willa W. |
| Model selection
|
2009 |
Leeb, Hannes |
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