Works matching IS 08837252 AND DT 2002 AND VI 17 AND IP 5

Results: 11

MODELLING AND FORECASTING LEVEL SHIFTS IN ABSOLUTE RETURNS.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 601, doi. 10.1002/jae.690

By:

Franses, Philip Hans;
Van Der Leij, Marco;
Paap, Richard

Publication type:

Article

DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 579, doi. 10.1002/jae.684

By:

Andreou, Elena;
Ghysels, Eric

Publication type:

Article

TIME IRREVERSIBILITY AND EGARCH EFFECTS IN US STOCK INDEX RETURNS.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 565, doi. 10.1002/jae.692

By:

Yi-Ting Chen;
Chung-Ming Kuan

Publication type:

Article

GO-GARCH: A MULTIVARIATE GENERALIZED ORTHOGONAL GARCH MODEL.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 549, doi. 10.1002/jae.688

By:

Van Der Weide, Roy

Publication type:

Article

NEW FRONTIERS FOR ARCH MODELS.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 425, doi. 10.1002/jae.683

By:

Engle, Robert

Publication type:

Article

MAXIMUM LIKELIHOOD ESTIMATION OF STAR AND STAR-GARCH MODELS: THEORY AND MONTE CARLO EVIDENCE.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 509, doi. 10.1002/jae.686

By:

Chan, Felix;
McAleer, Michael

Publication type:

Article

A THEORETICAL COMPARISON BETWEEN INTEGRATED AND REALIZED VOLATILITY.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 479, doi. 10.1002/jae.689

By:

Meddahi, Nour

Publication type:

Article

ESTIMATING QUADRATIC VARIATION USING REALIZED VARIANCE.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 457, doi. 10.1002/jae.691

By:

Barndorff-Nielsen, Ole E.;
Sheppard, Neil

Publication type:

Article

SOME COMMENTS ON RISK.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 447, doi. 10.1002/jae.687

By:

Granger, Clive W.J.

Publication type:

Article

BRIDGING THE GAP BETWEEN THE DISTRIBUTION OF REALIZED (ECU) VOLATILITY AND ARCH MODELLING (OF THE EURO): THE GARCH-NIG MODEL.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 535, doi. 10.1002/jae.685

By:

Forsberg, Lars;
Bollerslev, Tim

Publication type:

Article

FINANCIAL VOLATILITY: AN INTRODUCTION.

Published in:

Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 419, doi. 10.1002/jae.693

By:

Franses, Philip Hans;
McAleer, Michael

Publication type:

Article