Modeling vector nonlinear time series using POLYMARS
Computational Statistics & Data Analysis
A simple multivariate ARCH model specified by random coefficients
Computational Statistics & Data Analysis
Minimum distance estimation of GARCH(1,1) models
Computational Statistics & Data Analysis
Testing the martingale difference hypothesis using integrated regression functions
Computational Statistics & Data Analysis
Accurate value-at-risk forecasting based on the normal-GARCH model
Computational Statistics & Data Analysis
Extremal financial risk models and portfolio evaluation
Computational Statistics & Data Analysis
Time series of count data: modeling, estimation and diagnostics
Computational Statistics & Data Analysis
Pairwise likelihood inference for ordinal categorical time series
Computational Statistics & Data Analysis
Comparison of nonnested asymmetric heteroskedastic models
Computational Statistics & Data Analysis
Regime-switching Pareto distributions for ACD models
Computational Statistics & Data Analysis
Stylized facts of financial time series and hidden semi-Markov models
Computational Statistics & Data Analysis
A class of nonlinear stochastic volatility models and its implications for pricing currency options
Computational Statistics & Data Analysis
Financial econometric analysis at ultra-high frequency: Data handling concerns
Computational Statistics & Data Analysis
Nonlinear dynamics in Nasdaq dealer quotes
Computational Statistics & Data Analysis
A dynamic model of expected bond returns: A functional gradient descent approach
Computational Statistics & Data Analysis
Semiparametric estimation in perturbed long memory series
Computational Statistics & Data Analysis
Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
Computational Statistics & Data Analysis
Fast algorithm for nonparametric arbitrage-free SPD estimation
Computational Statistics & Data Analysis
Forecasting nonlinear time series with neural network sieve bootstrap
Computational Statistics & Data Analysis
Absorption of shocks in nonlinear autoregressive models
Computational Statistics & Data Analysis
Evaluating volatility forecasts in option pricing in the context of a simulated options market
Computational Statistics & Data Analysis
Small-sample improvements in the statistical analysis of seasonally cointegrated systems
Computational Statistics & Data Analysis
New algorithms for dating the business cycle
Computational Statistics & Data Analysis
An option pricing formula for the GARCH diffusion model
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Computing estimates of continuous time macroeconometric models on the basis of discrete data
Computational Statistics & Data Analysis
Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Forecasting daily time series using periodic unobserved components time series models
Computational Statistics & Data Analysis
Unobserved component models with asymmetric conditional variances
Computational Statistics & Data Analysis
Econometric methods of signal extraction
Computational Statistics & Data Analysis
Bootstrap prediction for returns and volatilities in GARCH models
Computational Statistics & Data Analysis
Editorial: The fourth special issue on Computational Econometrics
Computational Statistics & Data Analysis
Editorial: The Fifth Special Issue on Computational Econometrics
Computational Statistics & Data Analysis
Editorial: The sixth special issue on computational econometrics
Computational Statistics & Data Analysis
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