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1
Time scale and fractionality in financial time series
Sproul, Thomas W.
- In:
Agricultural finance review
76
(
2016
)
1
,
pp. 76-93
Persistent link: https://www.econbiz.de/10011695555
Saved in:
2
Real-time monitoring test for realized
volatility
Wang, Cindy Shin Huei
;
Hsiao, Cheng
- In:
Journal of time series econometrics
5
(
2013
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009753112
Saved in:
3
Volatility
modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye
;
Demiralay, Sercan
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
1/3
,
pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
Saved in:
4
Modeling time-varying skewness via decomposition for out-of-sample forecast
Liu, Xiaochun
- In:
International journal of forecasting
31
(
2015
)
2
,
pp. 296-311
Persistent link: https://www.econbiz.de/10011474059
Saved in:
5
The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre
;
Yamamoto, Yohei
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
3
,
pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
Saved in:
6
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
7
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
8
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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9
Comparing predictive accuracy under long memory, with an application to valatility forecasting
Kruse, Robinson
;
Leschinski, Christian
;
Will, Michael
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 180-228
Persistent link: https://www.econbiz.de/10012054436
Saved in:
10
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
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