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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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The model confidence set
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2010
Persistent link: https://www.econbiz.de/10008780026
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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
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The selection of ARIMA models with or without regressors
Johansen, Søren; Riani, Marco; Atkinson, Anthony C. - 2012
Persistent link: https://www.econbiz.de/10009660743
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - 2012
Persistent link: https://www.econbiz.de/10009667400
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren; Gatarek, Lukasz - 2014
Persistent link: https://www.econbiz.de/10010418991
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Times series : cointegration
Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010418999