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|
Glossary to ARCH (GARCH)
– Tim Bollerslev, Tim Bollerslev
- 2007
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5
|
Volatility Forecasting
– Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold
- 2005
|
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Research Division Federal Reserve Bank of St. Louis Working Paper Series Econometric Modeling of Exchange Rate Volatility and Jumps
– Deniz Erdemlioglu, Sébastien Laurent, Christopher J. Neely, Deniz Erdemlioglu, Sébastien Laurent, Université Catholique De Louvain, Christopher J. Neely
- 2012
|
|
1
|
Value-At-Risk For Long And Short Trading Positions
– Pierre Giot, Sebastien Laurent
- 2001
|
|
50
|
MULTIVARIATE GARCH MODELS: A SURVEY
– Luc Bauwens, Sébastien Laurent , Jeroen V. K. Rombouts
|
|
4
|
Whatgood Is A Volatility Model?
– Robert F. Engle, Andrew J. Patton
- 2001
|
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Can Realized Volatility improve the Accuracy of Value-at-Risk Forecasts?
– Robinson Kruse
- 2006
|
|
7
|
A Test for Density Forecast Comparison with Applications to Risk Management
– Yong Bao, Tae-hwy Lee
- 2004
|
|
47
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Parametric and Nonparametric Volatility Measurement
– Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard
- 2002
|
|
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THE NEW POSSIBILITIES FOR THE DEVELOPMENT OF THE BANKRUPTCY / SOLVENCY MODELS
– František Kalouda
- 2003
|
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10
|
Nonlinear time series, complexity theory and finance
– William A. Brock, Pedro J. F. de Lima
- 1995
|
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1
|
Modelling the Asymmetry of Stock Market Volatility
– Olan Henry
- 1998
|
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1
|
Realized Stock Volatility
– Heiko Ebens
- 1999
|
|
18
|
The Distribution of Stock Return Volatility
– Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens
- 2000
|
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124
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Emerging Equity Market Volatility
– Geert Bekaert, Campbell R. Harvey, Stephen Gray, Jianping Mei, Steve Ross
- 1997
|
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2
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The Conditional Distribution of Real Estate Returns: Are higher moments time varying?
– Shaun A. Bond, Kanak Patel, Dean Paxson, Steve Satchell, Jim Shilling, Charles Ward
- 2002
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All in the Family: Nesting . . .
– Ludger Hentschel
- 1994
|
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60
|
Autoregressive Conditional Skewness
– Campbell R. Harvey, Akhtar Siddique
- 1999
|
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Quantitative Finance To apear Efficient Factor GARCH Models and Factor-DCC Models
– Kun Zhang, Laiwan Chan
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