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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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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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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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Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano; Proietti, Tommaso - 2011
Persistent link: https://www.econbiz.de/10009006817