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The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - 2012
Persistent link: https://www.econbiz.de/10009576958
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How Non-Gaussian shocks affect risk premia in non-linear DSGE models
Andreasen, Martin Møller - 2010
Persistent link: https://www.econbiz.de/10008659421
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Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan - 2016
Persistent link: https://www.econbiz.de/10011541711
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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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Forecasting with universal approximators and a learning algorithm
Bredahl Kock, Anders - 2009
Persistent link: https://www.econbiz.de/10003849546
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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