Add to ORKGAn exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied
Two well documented empirical regularities in asset markets, leptokurtosis and clustered volatility,...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote ...
Bollerslev’s (1986) standard GARCH(1,1) model has been successful in the literature of volatility mo...
Abstract§ GARCH processes constitute the major area of time series variance analysis hence the limit...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
This thesis focusses on application as well as modifications of sequential Monte Carlo (SMC) utilisi...
In this paper we describe a nonparametric GARCH model of rst order and pro-pose a simple iterative a...
In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models ...
This study applies the BDS test to identify whether financial market data are driven by chaos theory...
Two well documented empirical regularities in asset markets, leptokurtosis and clustered volatility,...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
An exact discretization of continuous time stochastic volatility processes observed at irregularly s...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote ...
Bollerslev’s (1986) standard GARCH(1,1) model has been successful in the literature of volatility mo...
Abstract§ GARCH processes constitute the major area of time series variance analysis hence the limit...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
This thesis focusses on application as well as modifications of sequential Monte Carlo (SMC) utilisi...
In this paper we describe a nonparametric GARCH model of rst order and pro-pose a simple iterative a...
In this paper we study a new class of nonlinear GARCH models. Special interest is devoted to models ...
This study applies the BDS test to identify whether financial market data are driven by chaos theory...
Two well documented empirical regularities in asset markets, leptokurtosis and clustered volatility,...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...
We discuss the empirical importance of long term cyclical effects in the volatility of financial ret...