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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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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680
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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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Unstable volatility functions : the break preserving local linear estimator
Casas, Isabel; Gijbels, Irène - 2009
Persistent link: https://www.econbiz.de/10003892556
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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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On the economic evaluation of volatility forecasts
Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003903525
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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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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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008746092