Financial econometrics -- a new discipline with new methods. (With comments)
type: Item
instance of: scholarly article
title: Financial econometrics -- a new discipline with new methods. (With comments)
zbMATH Open document ID: 1099.62548
DOI: 10.1016/S0304-4076(00)00053-1
published in: Journal of Econometrics
publication date: 2001-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1568609
author: Robert F. Engle
describes a project that uses: CAViaR
MaRDI profile type: Publication
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Q4343010
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: The Econometrics of Ultra-high-frequency Data
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Autoregressive Conditional Density Estimation
cites work: Multivariate Stochastic Variance Models
cites work: Q5445942
full work available at URL: s0304-4076(00)00053-1
OpenAlex ID: W2104338016
description: scientific article; zbMATH DE number 1568609