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Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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On a threshold double autoregressive model
Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10011691211
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Overnight GARCH-Itô volatility models
Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
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Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
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Estimating the model for seasoned equity offering underpricing : application to the Chinese financial market
Chung, Chune Young; Liu, Chang - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1472-1480
Persistent link: https://www.econbiz.de/10011563542
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Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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A hybrid data cloning maximum likelihood estimator for stochastic volatility models
Laurini, Márcio Poletti - In: Journal of time series econometrics 5 (2013) 2, pp. 193-229
Persistent link: https://www.econbiz.de/10010225441