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A bootstrap test for jumps in financial economics
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78
Persistent link: https://www.econbiz.de/10010504752
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Bipower variation with jumps and correlated returns
Duan, Yunpeng; Xue, Yi - In: Economics letters 125 (2014) 3, pp. 367-371
Persistent link: https://www.econbiz.de/10010506017
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Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
Xu, Zheng - In: Economics letters 120 (2013) 3, pp. 369-373
Persistent link: https://www.econbiz.de/10010128844
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Corporate bond pricing model with stochastically volatile firm value process
Jang, Woon Wook; Eom, Young Ho; Kang, Yong Joo - In: Economics letters 148 (2016), pp. 41-44
Persistent link: https://www.econbiz.de/10011619792
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A simple nonnegative process for equilibrium models
Hsu, Alex; Palomino, Francisco - In: Economics letters 132 (2015), pp. 39-44
Persistent link: https://www.econbiz.de/10011431117
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - In: Economics letters 120 (2013) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
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Spurious persistence in stochastic volatility
Messow, Philip; Krämer, Walter - In: Economics letters 121 (2013) 2, pp. 221-223
Persistent link: https://www.econbiz.de/10010346320
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GARCH with omitted persistent covariate
Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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A new estimator of the fractionally integrated stochastic volatility model
Wright, Jonathan H. - In: Economics letters 63 (1999) 3, pp. 295-303
Persistent link: https://www.econbiz.de/10001398938
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Recursive adjusted unit root tests under non-stationary volatility
Wang, Shaoping; Li, Yanglin; Wen, Kuangyu - In: Economics letters 205 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013202963