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Quantitative finance
CREATES Research Papers
62
Finance research letters
58
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39
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39
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32
International review of economics & finance : IREF
32
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
Dynamic partial (co)variance forecasting model
Chen, Zirong
;
Zhou, Yao
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 643-653
Persistent link: https://www.econbiz.de/10014552126
Saved in:
5
Time-varying parameters
realized
GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Saved in:
6
Realized
higher-order comoments
Bae, Kwangil
;
Lee, Soonhee
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 421-429
Persistent link: https://www.econbiz.de/10012483831
Saved in:
7
Bayesian
realized
-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
8
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating
realized
measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
9
Coupled GARCH(1,1) model
Nie, Huasheng
;
Waelbroeck, Henri
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 759-776
Persistent link: https://www.econbiz.de/10014304344
Saved in:
10
High-dimensional
realized
covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
Saved in:
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