Narrow search
Showing 1 - 10 of 167
Cover Image
Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009308207
Cover Image
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012620745
Cover Image
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
Cover Image
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
Cover Image
On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
Cover Image
Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
Cover Image
Least squares inference on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar; Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003849539
Cover Image
A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
Cover Image
Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
Cover Image
Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003849570