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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

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

A non-linear dynamic model of the variance risk premium

Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

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Valuation and Volatility : Stakeholder's Perspective

Bag, Dinabandhu - 2022 - 1st ed. 2022.

This textbook provides a first-hand account of impact of volatility on valuations. It focuses on valuation of the investment with fair, practical and insightful explanations. Volatility in markets can form the foundation of fair value. A marginal change in volatility has a significant impact on...

Persistent link: https://www.econbiz.de/10012821385

The continuous-time limit of score-driven volatility models

Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675

Persistent link: https://www.econbiz.de/10012619254

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano; … - In: Journal of econometrics 222 (2021) 1,2, pp. 324-343

Persistent link: https://www.econbiz.de/10012619427