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Realised higher moments : theory and practice
Buckle, Michael J.; Chen, Jing; Williams, Julian M. - In: The European journal of finance 22 (2016) 13/15, pp. 1272-1291
Persistent link: https://www.econbiz.de/10011715418
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
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Modeling market fluctuations under investor sentiment with a Hawkes-Contact process
Zhang, Junhuan; Wen, Jiaqi; Chen, Jing - In: The European journal of finance 29 (2023) 1, pp. 17-32
Persistent link: https://www.econbiz.de/10014322445