Pages that link to "Item:Q1185104"
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The following pages link to ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104):
Displaying 50 items.
- Properties of equilibrium asset prices under alternative learning schemes (Q959726) (← links)
- A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
- \(\mathcal{G}\)-inhomogeneous Markov systems of high order (Q973027) (← links)
- On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
- Fractal market hypothesis and two power-laws (Q997475) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- Stylized facts of financial time series and hidden semi-Markov models (Q1010564) (← links)
- On the effectiveness of scenario generation techniques in single-period portfolio optimization (Q1011180) (← links)
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (Q1019488) (← links)
- Bayesian estimation of the Gaussian mixture GARCH model (Q1019890) (← links)
- Non-linear properties of conditional returns under scale mixtures (Q1019936) (← links)
- An evolutionary game theory explanation of ARCH effects (Q1027364) (← links)
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (Q1037795) (← links)
- Exact predictive densities for linear models with ARCH disturbances (Q1118320) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
- Volume, volatility, and leverage: A dynamic analysis (Q1126500) (← links)
- A general framework for predicting returns from multiple currency investments (Q1128948) (← links)
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- Prediction in dynamic models with time-dependent conditional variances (Q1185107) (← links)
- Adaptive estimation in time series regression models (Q1203090) (← links)
- Computation as economics (Q1274205) (← links)
- Forecasting exchange rate volatility using conditional variance models selected by information criteria (Q1274416) (← links)
- Rationality testing under asymmetric loss (Q1274785) (← links)
- A test of conditional heteroscedasticity in time series (Q1283077) (← links)
- Econophysics: Scaling and its breakdown in finance (Q1285113) (← links)
- A comparison of the power of some tests for conditional heteroscedasticity (Q1285811) (← links)
- Extremes of stochastic volatility models (Q1296598) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Distribution theory for unit root tests with conditional heteroskedasticity (Q1298480) (← links)
- Nonparametric vector autoregression (Q1299541) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
- Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model (Q1327978) (← links)
- Autoregressive conditional heteroskedasticity and changes in regime (Q1341198) (← links)
- Quasi-maximum likelihood estimation of stochastic volatility models (Q1341214) (← links)
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence (Q1342771) (← links)
- Nonparametric estimation of structural models for high-frequency currency market data (Q1347106) (← links)
- Heterogeneous beliefs, wealth accumulation, and asset price dynamics (Q1350469) (← links)
- Modeling the changing asymmetry of conditional variances (Q1351734) (← links)
- Testing stationarity for stock market data (Q1351737) (← links)
- ARCH models and financial applications (Q1355665) (← links)
- The likelihood of various stock market return distributions. I: Principles of inference (Q1360231) (← links)
- Quantile smoothing in financial time series (Q1360288) (← links)
- On the robustness of nonlinearity tests to moment condition failure (Q1362039) (← links)
- Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071) (← links)
- ``Quasifundamental'' variation in a price level and the inflation rate (Q1367908) (← links)
- On a threshold autoregression with conditional heteroscedastic variances (Q1368891) (← links)
