Zobrazeno 1 - 10
of 62
pro vyhledávání: '"PREMINGER, Arie"'
Autor:
Preminger, Arie, Storti, Giuseppe
Publikováno v:
The Econometrics Journal, 2017 Jan 01. 20(2), 221-258.
Externí odkaz:
https://www.jstor.org/stable/45172252
Autor:
Pfeffermann, Danny, Glickman, Hagit, Preminger, Arie, Lahiri, Partha, Bonnery, Daniel, Cirillo, Cinzia, Fabrizi, Enrico, Franco, Carolina, Gershunskaya, Julie, Li, Yan
Publikováno v:
Calcutta Statistical Association Bulletin; May 2024, Vol. 76 Issue: 1 p96-117, 22p
Publikováno v:
The Econometrics Journal, 2010 Jan 01. 13(2), 218-244.
Externí odkaz:
https://www.jstor.org/stable/23117467
Autor:
Hafner, Christian M., Preminger, Arie
Publikováno v:
Econometric Theory, 2009 Apr 01. 25(2), 336-363.
Externí odkaz:
https://www.jstor.org/stable/20532446
Autor:
Preminger, Arie, Sakata, Shinichi
Publikováno v:
The Econometrics Journal, 2007 Jan 01. 10(2), 294-319.
Externí odkaz:
https://www.jstor.org/stable/23116031
Autor:
Hafner, Christian M., Preminger, Arie
Publikováno v:
In Journal of Multivariate Analysis 2009 100(9):2044-2054
Autor:
Preminger, Arie, Franck, Raphael
Publikováno v:
In International Journal of Forecasting January-March 2007 23(1):71-84
Autor:
Pfeffermann, Danny, Preminger, Arie
Publikováno v:
Sankhya A; Aug2021, Vol. 83 Issue 2, p779-813, 35p
Autor:
Preminger, Arie
GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time series, which can be particularly heavy tailed. In this paper, we propose a novel log-transform-based least squares approach to the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1493::49abf3aaf7a095bb76d35a43c2e2605f
https://hdl.handle.net/2078.1/184245
https://hdl.handle.net/2078.1/184245
Autor:
Hafner, Christian, Preminger, Arie
ARCH(∞) models nest a wide range of ARCH and GARCH models including models with long memory in volatility. The existing literature on such models is quite restrictive in terms of existence of moments. However, the popular FIGARCH, one version of a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a0a5382859a6856596fc17fae03891f5
https://hdl.handle.net/2078.1/185255
https://hdl.handle.net/2078.1/185255