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Displaying 5 results.
    • WorkingPaper
    Exponential-type GARCH models with linear-in-variance risk premium
    Hafner, Christian[UCL] Kyriakopoulou, Dimitra[UCL] (2019)
    • Journal article
    Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
    Hafner, Christian[UCL] Kyriakopoulou, Dimitra[UCL] (2021) Journal of Business & Economic Statistics — Vol. 39, no. 2, p. 589-603 (2021)
    • Journal article
    Reconciling negative return skewness with positive time-varying risk premia
    Kyriakopoulou, Dimitra[UCL] Hafner, Christian[UCL] (2022) Econometric Reviews — Vol. 41, no.8, p. 877-894 (2022)
    • Journal article
    Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model
    Demos, Antonis Kyriakopoulou, Dimitra[UCL] (2019) Journal of Time Series Econometrics — Vol. 11, no. 1 (2019)
    • WorkingPaper
    Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model
    Demos, Antonis Kyriakopoulou, Dimitra[UCL] (2018)