Pages that link to "Item:Q3632416"
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The following pages link to FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416):
Displaying 9 items.
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- The stochastic permanent break model and the fractional integration hypothesis (Q702239) (← links)
- Long-run comovements in East Asian stock market volatility (Q2416241) (← links)
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
- Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (Q2893289) (← links)
- Fractional Cointegration (Q3646978) (← links)
- Semiparametric Estimation of Multivariate Fractional Cointegration (Q4468473) (← links)
- A looser cointegration concept using fractional integration parameters and quantification of market responsiveness (Q5957838) (← links)
- Investigating volatility transmission across international equity markets using multivariate fractional models (Q6056274) (← links)