Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
scientific article; zbMATH DE number 1106711 - MaRDI portal

scientific article; zbMATH DE number 1106711

From MaRDI portal
Publication:4372026

zbMath0884.90013MaRDI QIDQ4372026

Torben G. Andersen

Publication date: 21 January 1998


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Aggregation and memory of models of changing volatilityA white noise test under weak conditionsStochastic Volatility Models Predictive Relevance for Equity MarketsLong-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatilityEffect of time delay on flocking dynamicsFractionally integrated generalized autoregressive conditional heteroskedasticityGARCH and irregularly spaced dataModeling and forecasting of stock index volatility with APARCH models under ordered restrictionLASSO order selection for sparse autoregression: a bootstrap approachA simple joint model for returns, volatility and volatility of volatilityTemporal aggregation of volatility modelsBayesian modeling of financial returns: A relationship between volatility and trading volumeEstimation of the stochastic conditional duration model via alternative methodsA conditional-SGT-VaR approach with alternative GARCH modelsTail behavior of a threshold autoregressive stochastic volatility modelAn equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesisA generalized bivariate mixture model for stock price volatility and trading volumeOn periodic autoregressive stochastic volatility models: structure and estimationA class of nonlinear stochastic volatility models and its implications for pricing currency optionsOn some filtering problems arising in mathematical financeARMA representation of integrated and realized variancesStochastic volatility models with application in option pricingTime-delayed stochastic volatility modelEfficient method of moments estimation of a stochastic volatility model: A Monte Carlo studySemiparametric estimation of long-memory volatility dependencies: The role of high-frequency dataEstimation of stochastic volatility models via Monte Carlo maximum likelihoodJoint extremal behavior of hidden and observable time series with applications to GARCH processes