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Exploiting short-run predictability
Gomes, Francisco J. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001996442
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...
Persistent link: https://www.econbiz.de/10009582392
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Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002100081
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Forecast dispersion and the cross-section of expected returns
Johnson, Timothy C. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001778923
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Equity volatility and corporate bond yields
Campbell, John Y. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001822330
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
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Modeling and forecasting realized volatility
Anderson, Torben G. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001547064
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Tail risk managed investment strategies
Rickenberg, Lars - 2020
Persistent link: https://www.econbiz.de/10012483347
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The scarcity of effective monitors and its implications for corporate takeovers and ownership structures
Gorton, Gary (contributor); Kahl, Matthias (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685929