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Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
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Analyst recommendations and volatility in a rising, falling, and crisis equity market
Corbet, Shaen; Dowling, Michael; Cummins, Mark - In: Finance research letters 15 (2015), pp. 187-194
Persistent link: https://www.econbiz.de/10011553187
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu; Hou, Xinmeng - In: Finance research letters 30 (2019), pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
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Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Arnerić, Josip; Matković, Mario; Sorić, Petar - In: Finance research letters 28 (2019), pp. 118-124
Persistent link: https://www.econbiz.de/10012388033
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Estimating volatility persistence under a Brexit-vote structural break
Adesina, Tola - In: Finance research letters 23 (2017), pp. 65-68
Persistent link: https://www.econbiz.de/10011808359
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Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos; McMillan, David G. - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
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The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou; Wang, Yubao; Song, Juan - In: Finance research letters 56 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
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Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models
Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10015079727