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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~person:"McAleer, Michael"
~subject:"Volatility"
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Volatility
Time series analysis
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7
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7
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Kapetanios, George
Hounyo, Ulrich
Koopman, Siem Jan
Maravall Herrero, Agustín
McAleer, Michael
Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
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4
Hallin, Marc
4
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3
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2
Boswijk, Herman Peter
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Francq, Christian
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Journal of econometrics
Discussion paper / Tinbergen Institute
39
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2
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Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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The North American journal of economics and finance : a journal of financial economics studies
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Tinbergen Institute Discussion Paper 09-110/4
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Tinbergen Institute Discussion Paper 14-118/III
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
3
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
5
Frontiers in time series and financial econometrics: An overview
Ling, Shiqing
;
McAleer, Michael
;
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 245-250
Persistent link: https://www.econbiz.de/10011503737
Saved in:
6
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:
7
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
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