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The multivariate Edgeworth-Sargan density
16 references·0 citing·33 second hop
The multivariate Edgeworth-Sargan density (2004)The multivariate Edgeworth-Sargan densityThe Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Gram–Charlier densities (2001)Gram–Charlier densitiesSkewness in financial returns (1999)Skewness in financial returnsThe variation of certain speculative prices (1997)The variation of certain spec…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps (1993)The Message in Weekly Exchang…Modeling asset returns with alternative stable distributions (1993)Modeling asset returns with a…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Simplified Jump Process for Common Stock Returns (1983)A Simplified Jump Process for…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Volatility and cross correlation across major stock markets (1998)A New Approach to Markov-Switching GARCH Models (2004)Théorie de la spéculation (1900)The Behavior of Stock-Market Prices (1965)Option Pricing With V. G. Martingale Components1 (1991)How Are Derivatives Used? Evidence from the Mutual Fund Industry (1999)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)
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References

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1993
The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps
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