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isPartOf:"Journal of econometrics"
~isPartOf:"Global COE Hi-Stat discussion paper series"
~person:"Andersen, Torben"
~person:"Asai, Manabu"
~person:"McAleer, Michael"
~person:"Ubukata, Masato"
~subject:"ARCH-Modell"
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Search: subject_exact:"Volatility"
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Andersen, Torben
Asai, Manabu
McAleer, Michael
Ubukata, Masato
Watanabe, Toshiaki
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Francq, Christian
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Zakoïan, Jean-Michel
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Global COE Hi-Stat discussion paper series
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ECONIS (ZBW)
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1
Pricing Nikkei 225 options using realized volatility
Ubukata, Masato
;
Watanabe, Toshiaki
-
2013
Persistent link: https://www.econbiz.de/10009689980
Saved in:
2
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
3
Duration-based volatility estimation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003854415
Saved in:
4
Option pricing using realized volatility and ARCH type models
Watanabe, Toshiaki
;
Ubukata, Masato
-
2009
Persistent link: https://www.econbiz.de/10003854767
Saved in:
5
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
- In:
Journal of econometrics
138
(
2007
)
1
,
pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
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