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Munich Personal RePEc Archive

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Number of items: 20.

A

Aloosh, Arash (2014): Global Variance Risk Premium and Forex Return Predictability.

Arash, Aloosh (2011): Variance Risk Premium Differentials and Foreign Exchange Returns. Published in: EFA Doctoral Tutorial 2012 (18 August 2012)

D

De Vos, Ignace and Everaert, Gerdie and Sarafidis, Vasilis (2021): A method for evaluating the rank condition for CCE estimators.

E

Escribano, Alvaro and Sucarrat, Genaro (2016): Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.

F

Francq, Christian and Sucarrat, Genaro (2013): An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.

Francq, Christian and Sucarrat, Genaro (2015): Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.

G

Gharsallah, Sofian and Sucarrat, Genaro (2019): Hvor presise er prognosene i Nasjonalbudsjettet?

Gr√łnneberg, Steffen and Sucarrat, Genaro (2014): Risk Estimation when the Zero Probability of Financial Return is Time-Varying.

J

Juodis, Arturas and Sarafidis, Vasilis (2020): An Incidental Parameters Free Inference Approach for Panels with Common Shocks.

Juodis, Arturas and Sarafidis, Vasilis (2020): Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks.

L

Li, Qi and Sarafidis, Vasilis and Westerlund, Joakim (2020): Essays in Honor of Professor Badi H Baltagi: Editorial.

M

Marin, J. Miguel and Sucarrat, Genaro (2012): Financial Density Selection. Published in: The European Journal of Finance , Vol. 21, No. 13-14 (2015): pp. 1195-1213.

S

Sucarrat, Genaro (2019): User-Specified General-to-Specific and Indicator Saturation Methods.

Sucarrat, Genaro (2020): garchx: Flexible and Robust GARCH-X Modelling.

Sucarrat, Genaro (2018): The Log-GARCH Model via ARMA Representations.

Sucarrat, Genaro (2020): Identification of Volatility Proxies as Expectations of Squared Financial Return.

Sucarrat, Genaro and Escribano, Alvaro (2013): Estimation of Log-GARCH Models in the Presence of Zero Returns.

Sucarrat, Genaro and Gr√łnneberg, Steffen and Escribano, Alvaro (2013): Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown.

X

Xiao, Jiaqi and Juodis, Arturas and Karavias, Yiannis and Sarafidis, Vasilis (2021): Improved Tests for Granger Non-Causality in Panel Data.

Xiao, Jiaqi and Juodis, Arturas and Karavias, Yiannis and Sarafidis, Vasilis and Ditzen, Jan (2022): Improved Tests for Granger Non-Causality in Panel Data.

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