Works matching IS 08837252 AND DT 2002 AND VI 17 AND IP 5
Results: 11
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
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- Publication type:
- Article
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
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- 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
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- 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
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- 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
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- 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
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- 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
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- 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
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- 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
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- 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
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- 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
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- Publication type:
- Article