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~isPartOf:"Applied economics"
~isPartOf:"CREATES research paper"
~isPartOf:"NBER working paper series"
~isPartOf:"Post-Print / HAL"
~subject:"Volatilität"
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
2
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
3
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
4
Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Louzis, Dimitrios P.
;
Xanthopoulos-Sisinis, Spyros
; …
- In:
Applied economics
44
(
2012
)
25/27
,
pp. 3533-3550
Persistent link: https://www.econbiz.de/10009619742
Saved in:
5
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
6
Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso
;
Grassi, Stefano
-
2011
Persistent link: https://www.econbiz.de/10008841795
Saved in:
7
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
8
Latent integrated stochastic volatility, realized volatility, and implied volatility : a state space approach
Bach, Christian
;
Christensen, Bent Jesper
-
2010
Persistent link: https://www.econbiz.de/10008857837
Saved in:
9
Testing the local volatility assumption : a statistical approach
Podolskij, Mark
;
Rosenbaum, Mathieu
-
2011
Persistent link: https://www.econbiz.de/10008807427
Saved in:
10
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
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