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Semiparametric Multivariate GARCH Models
Volatility Impulse Response Functions for Multivar...
Handbook of Volatility Models and Their Applicatio...
Fourth Moments of Multivariate GARCH Processes
Estimation of Temporally Aggregated Multivariate G...
Deciding Between GARCH and Stochastic Volatility V...
Identification of Structural Multivariate GARCH Mo...
Volatility of Price Indices for Heterogeneous Good...
Testing Causality in Variance Using Multivariate G...
Weak Diffusion Limits of Dynamic Conditional Corre...
The "wrong Skewness" Problem in Stochast...
Efficient Estimation of a Multivariate Multiplicat...
Temporal Aggregation of Multivariate GARCH Process...
Semiparametric Multivariate Volatility Models
Asymptotic Theory for a Factor GARCH Model
Testing for Liear Autogressive Dynamics Under Hete...
Estimating Autocorrelations in the Presence of Det...
Nonlinear Time Series: Analysis with Applications ...
Econometric Analysis of Volatile Art Markets
Stuctural Analysis of Portfolio Risk Using Beta Im...
Multivariate Volatility Modeling of Electricity Fu...
A New Method for Volatility Estimation with Applic...
Estimating High Frequency Foreign Exchange Rate Vo...
Ridge Regression Revisited
Foreign Exchange Rates Have Surprising Volatility
A One Line Derivation of EGARCH
Structural Analysis of Portfolio Risk Using Beta I...
Fair Re-valuation of Wine as an Investment
Estimation of a Multiplicative Covariance Structur...
Option Pricing Under Linear Autoregressive Dynamic...