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Accounting for technology heterogeneity in the measurement of persistent and transient inefficiency
Skevas, Ioannis - In: Economic modelling 137 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014549231
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
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The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf - In: Journal of econometrics 78 (1997) 2, pp. 205-216
Persistent link: https://www.econbiz.de/10001219989
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
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Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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How regular are directional movements in commodity and asset prices? : a Wald test
Oglend, Atle; Kleppe, Tore Selland - In: Journal of empirical finance 38 (2016), pp. 290-306
Persistent link: https://www.econbiz.de/10011664705
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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A semiparametric GARCH model for foreign exchange volatility
Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384
Persistent link: https://www.econbiz.de/10003277973