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Endogenous Exchange Rate Volatility, Trading Volume and Interest Rate Differentials in a Model of Portfolio Selection
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Endogenous Exchange Rate Volatility, Trading Volume and Interest Rate Differentials in a Model of Portfolio Selection (1999)Endogenous Exchange Rate Volatility, Trad…An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (2016)An equation-by-equation estim…ARCH/GARCH with persistent covariate: Asymptotic theory of MLE (2011)ARCH/GARCH with persistent co…Time Series Properties of ARCH Processes with Persistent Covariates (2006)Time Series Properties of ARC…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Comparison of Realized Measure and Implied Volatility in Forecasting Volatility (2013)Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting (2015)On oil-US exchange rate volatility relationships: An intraday analysis (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Dynamic Conditional Correlation (2002)An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation* (2017)Equation-by-equation estimation of multivariate periodic electricity price volatility (2018)Risk Estimation with a Time-Varying Probability of Zero Returns (2020)
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  • 2006Time Series Properties of ARCH Processes with Persistent Covariates32 cited
  • 2016An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns24 cited
  • 2011ARCH/GARCH with persistent covariate: Asymptotic theory of MLE17 cited

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