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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Department of Economics discussion paper series / University of Oxford"
~isPartOf:"Journal of financial markets"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Medeiros, Marcelo C."
~person:"Noureldin, Diaa"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
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Volatility
16
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16
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11
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5
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Medeiros, Marcelo C.
Noureldin, Diaa
Hafner, Christian M.
6
Campos-Martins, Susana
3
Dufays, Arnaud
3
Shephard, Neil G.
3
Sheppard, Kevin
3
Stivers, Christopher T.
3
Amado, Cristina
2
Bondarenko, Oleg
2
Breitung, Jörg
2
Connolly, Robert A.
2
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2
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2
Otranto, Edoardo
2
Preminger, Arie
2
Sucarrat, Genaro
2
Aboura, Sofiane
1
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1
Alexander, Carol
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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CORE discussion papers : DP
Department of Economics discussion paper series / University of Oxford
Journal of financial markets
Working paper / National Bureau of Economic Research, Inc.
14
Journal of econometrics
8
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
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6
School of Accounting, Finance and Economics & FEMARC working paper series
6
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6
CREATES research paper
5
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5
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5
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4
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3
Financial Institutions Center
3
International journal of forecasting
3
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2
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2
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2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
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The North American journal of economics and finance : a journal of financial economics studies
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1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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CORE discussion paper : DP
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Cardiff economics working papers
1
Economics discussion papers
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
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ECONIS (ZBW)
15
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1
Jumps in stock prices : new insights from old data
Johnson, James A.
;
Medeiros, Marcelo C.
;
Paye, Bradley S.
- In:
Journal of financial markets
60
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013398004
Saved in:
2
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
4
A new approach to
volatility
modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
5
Reflecting on the VPIN dispute
Andersen, Torben
;
Bondarenko, Oleg
- In:
Journal of financial markets
17
(
2014
),
pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
Saved in:
6
VPIN and the flash crash
Andersen, Torben
;
Bondarenko, Oleg
;
O'Hara, Maureen
- In:
Journal of financial markets
17
(
2014
),
pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
Saved in:
7
Modeling the dependence of conditional correlations on
volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
8
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
9
Multivariate high-frequency-based
volatility
(HEAVY) models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2011
Persistent link: https://www.econbiz.de/10008842201
Saved in:
10
Multivariate
volatility
modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
2011
Persistent link: https://www.econbiz.de/10009161059
Saved in:
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