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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"The journal of futures markets"
~subject:"Bootstrap approach"
~subject:"Estimation"
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Bootstrap approach
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Volatility
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Journal of econometrics
CORE discussion paper : DP
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
The journal of futures markets
Energy economics
144
Finance research letters
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International journal of forecasting
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International journal of finance & economics : IJFE
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International Journal of Energy Economics and Policy : IJEEP
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Journal of financial economics
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Pacific-Basin finance journal
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International journal of economics and finance
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Journal of financial econometrics
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ECONIS (ZBW)
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91
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
92
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Saved in:
93
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
94
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
95
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
96
High dimensional dynamic stochastic copula models
Creal, Drew
;
Tsay, Ruey S.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Saved in:
97
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
98
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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99
Credit-implied equity volatility : long-term forecasts and alternative fear gauges
Byström, Hans N. E.
- In:
The journal of futures markets
35
(
2015
)
8
,
pp. 753-775
Persistent link: https://www.econbiz.de/10011392648
Saved in:
100
Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
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