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As mentioned in Harvey, Ruiz, and Shephard (1994), the preceding fitting method cannot be extended to the leverage model considered below. So, Li, and Lam (1997) provide a similar ...
These include replacing the normal assumption for the variables u, by a Student-t distribution (e.g., Harvey, Ruiz and Shephard, 19941, introducing some dependence between ut and either ...
This greatly simplifies the development of an inferential methodology becausey ∗ isalinearprocess (e.g. Harvey, Ruiz, and Shephard (1994)) with an i.i.d. errorξ t in (3) that ...
Alternatively, the quasi maximum likelihood ( QML ) approach is suggested by Nelson (1988), Ruiz (1994) and Harvey, Ruiz&Shephard (1994). The main idea is to treat non-normal ...
An alternative ap-proachforthe multivariate case was given by Harvey, Ruiz, and Shephard[80]. A final major field concerns the hedging of options or, more generally, contingent claims
As mentioned in Harvey, Ruiz, and Shephard (1994), the preceding fitting method cannot be extended to the leverage model considered below. So, Li, and Lam (1997) provide a ...
This greatly simplifies the development of an inferential methodology becausey isalinearprocess (e.g. Harvey, Ruiz, and Shephard (1994)) with an i.i.d. error t in (3 ...
So, Lam and Li (1998) also introduce Markovswitching to the stochastic volatility model of Melinoand Turnbull (1990), Harvey, Ruiz, and Shephard (1994), and Jacquier ...
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