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Recent Developments in Seasonal Volatility Models

In: Advances in Econometrics - Theory and Applications

Author

Listed:
  • Julieta Frank
  • Melody Ghahramani
  • Aera Thavaneswaran

Abstract

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Suggested Citation

  • Julieta Frank & Melody Ghahramani & Aera Thavaneswaran, 2011. "Recent Developments in Seasonal Volatility Models," Chapters, in: Miroslav Verbic (ed.), Advances in Econometrics - Theory and Applications, IntechOpen.
    • Handle: RePEc:ito:pchaps:32189
    DOI: 10.5772/24043
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    Cited by:

    1. Thavaneswaran, A. & Liang, You & Frank, Julieta, 2012. "Inference for random coefficient volatility models," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2086-2090.
    2. Łukasz Lenart, 2017. "Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(1), pages 29-67, March.

    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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