Browsing Institutt for internasjonal forretningsdrift by Subject "Risikostyring"
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Bootstrapped Nonlinear Impulse-Response Analysis: The FTSE100 (UK) and the NDX100 (US) Indices 2012-2021
(Peer reviewed; Journal article, 2021)This paper presents bootstrapped nonlinear impulse response function analyses for general step ahead mean and volatility densities. From strictly (ergodic and) stationary series and BIC optimal non-linear model coefficients ...