Exponential conditional volatility models
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Other versions of this item:
- Harvey, A., 2010. "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics 1040, Faculty of Economics, University of Cambridge.
References listed on IDEAS
- González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011.
"Autocontours: Dynamic Specification Testing,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.
- Gloria González-Rivera & Zeynep Senyuz & Emre Yoldas, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 186-200, January.
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Cited by:
- Wintenberger, Olivier & Cai, Sixiang, 2011. "Parametric inference and forecasting in continuously invertible volatility models," MPRA Paper 31767, University Library of Munich, Germany.
- Bernd Schwaab, 2012.
"Conditional probabilities and contagion measures for euro area sovereign default risk,"
Research Bulletin, European Central Bank, vol. 17, pages 6-11.
- Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
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More about this item
Keywords
Student's t;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-10-16 (Econometrics)
- NEP-ETS-2010-10-16 (Econometric Time Series)
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