A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN

Keywords

Heteroscedasticity, Economics, Econometrics, Series (stratigraphy), Financial economics

References

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Cited by

• Information Asymmetry, Bid-Ask Spreads and Option ReturnsFredrik Berchtold, Lars L. Nordén — 2003
• Financial Risk Analysis Using Probabilistic Fuzzy SystemsP.N.M. Nolten — 2014
• El riesgo cambiario y el efecto euro en los tipos de cambio de contadoYolanda Santana-Jiménez — 2004
• The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk MeasuresKarsten Prause — 1999
• The Behaviour of Salmon Price VolatilityAtle Øglend, Marius Sikveland — 2008
• Intraday return, volatility and liquidity : an investigation of the market microstructure of the Chinese stock marketMingyuan Guo — 2006
• Excluding sum stable distributions as an explanation of second moment condition failure - the Australian evidenceJan Annaert, Marc De Ceuster, Allan Hodgson — 2005
• Non-linear versus non-gaussian volatility models in application to different financial marketsTatiana Miazhynskaia, Georg Dorffner, Engelbert J. Dockner — 2003
• Measuring Value at Risk of Portfolios under the Edgeworth-Sargan DistributionJavier Perote, Esther Del Brio — 2002
• An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countriesYiannis Kassimatis — 1994
• Neural Networks in Finance: Gaining Predictive Edge in the Market (Academic Press Advanced Finance Series)Paul D. McNelis — 2004
• The Review of Economic Studies Ltd.Andrew Harvey, Esther Ruiz, Neil Shephard — 2011
• Overlaying Time Scales and Persistence Estimation of Financial Volatility DataEric Hillebrand — 2002
• The impact of inflation uncertainty on interest ratesChongcheul Cheong, Gihong Kim, Jan M. Podivinsky — 2010
• Score driven asymmetric stochastic volatility modelsHelena Veiga, Esther Ruiz, Xiuping Mao — 2014
• A Smooth Transition Multivariate GARCH Approach to ContagionMarcelo Carvalho — 2007
• A Long Memory Conditional Variance Model for International Grain MarketsHyun Joung Jin, Jin, Hyun Joung — 2008
• An Investigation of the Lead-Lag Relationship in Returns and Volatility between Cash and Stack Index Futures: The Case of GreeceIlias D. Visvikis, Panayotis Alexakis, Manolis G. Kavussanos — 2002
• Volatility Persistence and Switching ARCH in Japanese Stock ReturnsWai Mun Fong — 1997
• Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovationsMichael P. Wiper, Pedro Galeano, Cristina García de la Fuente — 2014

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