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Group by: Item Type | Date
Jump to: 2006 | 2005
Number of items: 5.

2006

Haug, Stephan and Czado, Claudia (2006): An exponential continuous time GARCH process. Collaborative Research Center 386, Discussion Paper 480 [PDF, 591kB]

Czado, Claudia and Haug, Stephan (2006): A fractionally integrated ECOGARCH process. Collaborative Research Center 386, Discussion Paper 484 [PDF, 439kB]

Czado, Claudia and Haug, Stephan (2006): Quasi maximum likelihood estimation and prediction in the compound Poisson ECOGARCH(1,1) model. Collaborative Research Center 386, Discussion Paper 516 [PDF, 926kB]

2005

Haug, Stephan and Czado, Claudia (2005): Mixed effect model for absolute log returns of ultra high frequency data. Collaborative Research Center 386, Discussion Paper 440 [PDF, 958kB]

Haug, Stephan and Klüppelberg, Claudia and Lindner, A. and Zapp, M. (2005): Estimating the COGARCH(1,1) model - a first go. Collaborative Research Center 386, Discussion Paper 458 [PDF, 411kB]

This list was generated on Wed Oct 1 14:17:00 2014 CEST.