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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies
Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649
Persistent link: https://www.econbiz.de/10012654982
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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Multivariate fractional components analysis
Hartl, Tobias; Jucknewitz, Roland - In: Journal of financial econometrics 21 (2023) 3, pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
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A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449