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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Testing for rational bubbles in a co-explosive vector autoregression
Engsted, Tom; Nielsen, Bent - 2010
Persistent link: https://www.econbiz.de/10003978304
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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
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
Persistent link: https://www.econbiz.de/10008651782
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On the effects of private information on volatility
Opschoor, Anne (contributor) - 2012
Persistent link: https://www.econbiz.de/10009502496
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Rough electricity : a new fractal multi-factor model of electricity spot prices
Bennedsen, Mikkel - 2015
Persistent link: https://www.econbiz.de/10011343496
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Regularized estimation of structural instability in factor models : the US macroeconomy and the Great Moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
Persistent link: https://www.econbiz.de/10010529439
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The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - 2013
Persistent link: https://www.econbiz.de/10009733564