GARCH MODELS III
Tuesday 27th August 2002,
09:30 - 11:00
Room: 5.5
Session Chair(s):
Michael Wolf, Universitat Pompeu Fabra, SPAIN
Category: Econometrics
CONDITIONAL HETEROSCEDASTICITY MODEL FOR DISCRETE HIGH-FREQUENCY PRICECHANGES. WITH APPLICATION TO IBM TRADES DATA.
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Presenter(s): |
Dmitri Koulikov, University of Aarhus, DENMARK |
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Co-Author(s): |
none |
EVALUATION OF CONDITIONAL VALUE-AT-RISK MODELS
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Presenter(s): |
Burak Saltoglu, Marmara University, TURKEY |
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Co-Author(s): |
Tae Hwy Lee, UC, Riverside, UNITED STATES |
FLEXIBLE MULTIVARIATE GARCH MODELING WITH AN APPLICATION TO INTERNATIONAL STOCK MARKETS
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Presenter(s): |
Michael Wolf, Universitat Pompeu Fabra, SPAIN |
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Co-Author(s): |
Olivier Ledoit, Credit Suisse First Boston, London, UNITED KINGDOM and Pedro Santa-Clara, Anderson Graduate School of Management, UCLA, UNITED STATES |
Total Papers in This session: 3
Session Ref: 637
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