Barassi, Marco and Horvath, Lajos and Zhao, Yuqian (2018): Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Forthcoming in: Journal of Business and Economic Statistics
Rice, Gregory and Wirjanto, Tony and Zhao, Yuqian (2019): Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models.
Rice, Gregory and Wirjanto, Tony and Zhao, Yuqian (2021): Exploring volatility of crude oil intra-day return curves: a functional GARCH-X model.
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