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 and estimation of asymmetric exponential power distribution (Q97355) (← links)
- The past and future of empirical finance: some personal comments (Q265100) (← links)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- Smoothly mixing regressions (Q277172) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- Maximum entropy autoregressive conditional heteroskedasticity model (Q302193) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts (Q375251) (← links)
- Computational tools for comparing asymmetric GARCH models via Bayes factors (Q419441) (← links)
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- A simple nonnegative process for equilibrium models (Q529722) (← links)
- The economic value of volatility timing using a range-based volatility model (Q609837) (← links)
- Diagnostic checking for conditional heteroscedasticity models (Q625886) (← links)
- An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (Q630100) (← links)
- Estimation and properties of a time-varying GQARCH(1,1)-M model (Q642451) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Shaking the tree: an agency-theoretic model of asset pricing (Q665534) (← links)
- A note on intraday foreign exchange volatility and the informational role of quote arrivals (Q672930) (← links)
- Influence of big traders on the stock market: theory and simulation (Q692088) (← links)
- Modeling exchange rates using wavelet decomposed genetic neural networks (Q713693) (← links)
- Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach (Q736570) (← links)
- Global identification of risk preferences with revealed preference data (Q737866) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372) (← links)
- Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions (Q840975) (← links)
- Macroeconomic news, business cycles and Australian financial markets (Q842825) (← links)
- Intraday empirical analysis and modeling of diversified world stock indices (Q853868) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Inventory control under temporal demand heteroscedasticity (Q879290) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508) (← links)
- Calibration of GARCH models using concurrent accelerated random search (Q905332) (← links)
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
- On the tvGARCH(1,1) model: existence, CLT, and tail index (Q946794) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435) (← links)
- Mixture transition distribution (MTD) modeling of heteroscedastic time series (Q951799) (← links)
- On robust testing for conditional heteroscedasticity in time series models (Q956923) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test (Q959435) (← links)
