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Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2017
Persistent link: https://www.econbiz.de/10011706192
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - 2019
Persistent link: https://www.econbiz.de/10012316908
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Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; … - 2020
Persistent link: https://www.econbiz.de/10012318238