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Robust score and portmanteau tests of volatility spillover
Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 227 (2022) 1, pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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Has the Euro changed the business cycle?
Enders, Zeno; Jung, Philip; Müller, Gernot J. - 2012
Persistent link: https://www.econbiz.de/10009679707
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Covered interest arbitrage and market turbulence : an empiric. analysis
Taylor, Mark P. - 1988
Persistent link: https://www.econbiz.de/10000747918
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Volatility clustering and volatility transmission : a non-parametric view of erm exchange rates
Artis, Michael J.; Zhang, Wenda - 1997
Persistent link: https://www.econbiz.de/10000624960
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Endogenous market thinness and stock price volatility
Pagano, Marco - 1986
Persistent link: https://www.econbiz.de/10000705299
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235