Now showing items 1-2 of 2

    • Frontiers of financial econometrics and financial engineering 

      Ghysels, E; Tauchen, G (Journal of Econometrics, 2003-09-01)
      The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ...
    • Periodic Autoregressive Conditional Heteroskedasticity 

      Bollerslev, T; Ghysels, E (1996)
      Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive seasonal ...