Narrow search
Showing 1 - 7 of 7
Cover Image
Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009539803
Cover Image
Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - In: Journal of empirical finance 37 (2016), pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
Cover Image
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - In: Econometric theory 33 (2017) 4, pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Cover Image
Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Cover Image
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Cover Image
Macroeconomic attention, economic policy uncertainty, and stock volatility predictability
Ma, Feng; Guo, Yangli; Chevallier, Julien; Huang, Dengshi - In: International review of financial analysis 84 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013472723
Cover Image
Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397