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Number of items: 5.

Paper

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

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

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

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

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

This list was generated on Sun Apr 20 15:53:15 2014 CEST.