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subject:"Volatility"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"The journal of futures markets"
~person:"Caporin, Massimiliano"
~person:"Zaatour, Riadh"
~subject:"Risikoprämie"
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
Risikoprämie
Estimation
5
Schätzung
5
Volatilität
4
Welt
3
World
3
2010-2011
2
Capital income
2
Kapitaleinkommen
2
Market microstructure
2
Marktmikrostruktur
2
Securities trading
2
Time series analysis
2
Wertpapierhandel
2
Zeitreihenanalyse
2
ARCH model
1
ARCH-Modell
1
Asymmetry
1
Bacry-Delattre-Hoffmann-Muzy Model
1
Biofuel
1
Biokraftstoff
1
Block structures
1
Börsenkurs
1
Commodity derivative
1
Correlation
1
Crude oil futures
1
Day-night realized volatility
1
Day-night returns
1
Day-night volume
1
Dynkin formula
1
Erdgas
1
Erdgasmarkt
1
Erdöl
1
Ethanol futures
1
Europa
1
Europe
1
Forecast
1
Forecasting model
1
Heavy-tailed distribution
1
Index futures
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Aufsatz in Zeitschrift
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Caporin, Massimiliano
Zaatour, Riadh
Xuan Vinh Vo
4
Brooks, Robert
3
Kang, Sang Hoon
3
Yin, Libo
3
Agarwalla, Sobhesh Kumar
2
Balcilar, Mehmet
2
Chang, Chia-Lin
2
Chang, Kuang-Liang
2
Das, Debojyoti
2
Do, Hung Xuan
2
Ederington, Louis H.
2
Feng, Jiabao
2
Fonseca, José da
2
Gupta, Rangan
2
Han, Liyan
2
Huang, Alex
2
Huang, Dengshi
2
Hueng, C. James
2
Kumar, Dilip
2
Lai, Yu-Sheng
2
Lim, Kian-Guan
2
Ma, Feng
2
Malik, Farooq
2
McAleer, Michael
2
Mensi, Walid
2
Miffre, Joëlle
2
Rubio, Gonzalo
2
Shi, Yanlin
2
Todorova, Neda
2
Wang, George H. K.
2
Wang, Yudong
2
Xu, Weiju
2
Abakah, Emmanuel Joel Aikins
1
Akanni, Lateef O.
1
Al-Jarrah, Idries Mohammad Wanas
1
Al-Yahyaee, Khamis Hamed
1
Alexeev, Vitali
1
Alexiou, Lykourgos
1
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International review of economics & finance : IREF
The journal of futures markets
Journal of empirical finance
3
Journal of risk and financial management : JRFM
2
Econometric reviews
1
Journal of econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
2
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
Saved in:
3
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
4
Hawkes process : fast calibration, application to trade clustering, and diffuse limit
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 548-579
Persistent link: https://www.econbiz.de/10010371413
Saved in:
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