Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Lee, Tae-Hwy
1995.
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence.
Economics Letters,
Vol. 49,
Issue. 2,
p.
157.
Engle, Robert F.
and
Kroner, Kenneth F.
1995.
Multivariate Simultaneous Generalized ARCH.
Econometric Theory,
Vol. 11,
Issue. 1,
p.
122.
Deb, Partha
1996.
Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models.
Econometric Reviews,
Vol. 15,
Issue. 1,
p.
51.
Baillie, Richard T.
Bollerslev, Tim
and
Mikkelsen, Hans Ole
1996.
Fractionally integrated generalized autoregressive conditional heteroskedasticity.
Journal of Econometrics,
Vol. 74,
Issue. 1,
p.
3.
Bollerslev, Tim
and
Ghysels, Eric
1996.
Periodic Autoregressive Conditional Heteroscedasticity.
Journal of Business & Economic Statistics,
Vol. 14,
Issue. 2,
p.
139.
Bollerslev, Tim
and
Ole Mikkelsen, Hans
1996.
Modeling and pricing long memory in stock market volatility.
Journal of Econometrics,
Vol. 73,
Issue. 1,
p.
151.
Pagan, Adrian
1996.
The econometrics of financial markets.
Journal of Empirical Finance,
Vol. 3,
Issue. 1,
p.
15.
F de Lima, Pedro J.
1996.
Nuisance parameter free properties of correlation integral based statistics.
Econometric Reviews,
Vol. 15,
Issue. 3,
p.
237.
Shephard, Neil
1996.
Time Series Models.
p.
1.
Fiorentini, Gabriele
Calzolari, Giorgio
and
Panattoni, Lorenzo
1996.
Analytic derivatives and the computation of GARCH estimates.
Journal of Applied Econometrics,
Vol. 11,
Issue. 4,
p.
399.
Palm, F.C.
1996.
Statistical Methods in Finance.
Vol. 14,
Issue. ,
p.
209.
Linton, Oliver
1997.
An Asymptotic Expansion in the GARCH(l, 1) Model.
Econometric Theory,
Vol. 13,
Issue. 4,
p.
558.
Drost, Feike C.
and
Klaassen, Chris A.J.
1997.
Efficient estimation in semiparametric GARCH models.
Journal of Econometrics,
Vol. 81,
Issue. 1,
p.
193.
Saez, Marc
1997.
Option pricing under stochastic volatility and stochastic interest rate in the Spanish case.
Applied Financial Economics,
Vol. 7,
Issue. 4,
p.
379.
Lin, Wen-Ling
1997.
Impulse Response Function for Conditional Volatility in GARCH Models.
Journal of Business & Economic Statistics,
Vol. 15,
Issue. 1,
p.
15.
Drost, Feike C.
and
Klaassen, Chris A.J.
1997.
Efficient Estimation in Semiparametric GARCH Models.
SSRN Electronic Journal ,
Henry, Olan
1998.
Modelling the asymmetry of stock market volatility.
Applied Financial Economics,
Vol. 8,
Issue. 2,
p.
145.
Maercker, G.
1998.
Decision Technologies for Computational Finance.
Vol. 2,
Issue. ,
p.
207.
Drost, Feike C.
Nijman, Theo E.
and
Werker, Bas J. M.
1998.
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity.
Journal of Business & Economic Statistics,
Vol. 16,
Issue. 2,
p.
237.
Asai, Manabu
1998.
A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH.
JOURNAL OF THE JAPAN STATISTICAL SOCIETY,
Vol. 28,
Issue. 1,
p.
101.