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Parallel sequential Monte Carlo for efficient density combination : the Deco Matlab Toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013
Persistent link: https://www.econbiz.de/10009730084
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Realized volatility and multipower variation
Andersen, Torben; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003892558
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Tail risk premia and return predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014
Persistent link: https://www.econbiz.de/10010442441
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The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797485
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10003959796
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10008659419