Cassim, Lucius (2018): Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model.
Cassim, Lucius (2018): A semi-parametric GARCH (1, 1) estimator under serially dependent innovations.
Cassim, Lucius (2018): Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm.
Cassim, Lucius (2020): A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State.
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