The following pages link to Level changes in volatility models (Q470520):
Displaying 5 items.
- GARCH with omitted persistent covariate (Q485597) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Spurious persistence in stochastic volatility (Q2451401) (← links)
- A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices (Q5093213) (← links)
- Analysis of time series with multiple shifts of levels and volatilities (Q5894348) (← links)