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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
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009524097
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Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders; Bohn Nielsen, Heino - 2012
Persistent link: https://www.econbiz.de/10009546007
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Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso; Grassi, Stefano - 2011
Persistent link: https://www.econbiz.de/10008841795
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Option valuation with the simplified component GARCH model
Dziubinski, Matt - 2011
Persistent link: https://www.econbiz.de/10008857566
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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
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Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano; Proietti, Tommaso - 2011
Persistent link: https://www.econbiz.de/10009006817
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MCMC-based estimation of Markov Switching ARMA-GARCH models
Henneke, Jan S.; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Applied economics 43 (2011) 1/3, pp. 259-271
Persistent link: https://www.econbiz.de/10009011159
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Estimating the gravity model without gravity using panel data
Westerlund, Joakim; Wilhelmsson, Fredrik - In: Applied economics 43 (2011) 4/6, pp. 641-649
Persistent link: https://www.econbiz.de/10009011892
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Handling losses in translog profit models
Bos, Jaap W. B.; Koetter, Michael - In: Applied economics 43 (2011) 1/3, pp. 307-312
Persistent link: https://www.econbiz.de/10009012248