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person:"McAleer, Michael"
~isPartOf:"Journal of econometrics"
~person:"Chiarella, Carl"
~person:"Zhang, Lan"
~subject:"Capital income"
~subject:"Option pricing theory"
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Capital income
Option pricing theory
Volatility
12
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12
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McAleer, Michael
Chiarella, Carl
Zhang, Lan
Todorov, Viktor
12
Bollerslev, Tim
9
Tauchen, George Eugene
7
Andersen, Torben
6
Xiu, Dacheng
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Mykland, Per A.
5
Aït-Sahalia, Yacine
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Meddahi, Nour
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Li, Yingying
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Journal of econometrics
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8
Energy economics
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International journal of forecasting
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ECONIS (ZBW)
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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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
3
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
4
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:
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