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Stochastic volatility and DSGE models
Andreasen, Martin M. - 2009
Persistent link: https://www.econbiz.de/10003863170
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Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550
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Multipower variation for Brownian semistationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009
Persistent link: https://www.econbiz.de/10003849554
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard; Lunde, Asger - 2010
Persistent link: https://www.econbiz.de/10003934448
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Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2010
Persistent link: https://www.econbiz.de/10003937010
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10003959796
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Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper; Santucci de Magistris, Paolo - 2010
Persistent link: https://www.econbiz.de/10008651637