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An empirical model of network formation : detecting homophily when agents are heterogenous
Graham, Bryan S. - 2014
Persistent link: https://www.econbiz.de/10010394516
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Maximum likelihood estimation of latent affine processes
Bates, David S. - 2003
Persistent link: https://www.econbiz.de/10001758410
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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The distribution of stock return volatility
Andersen, Torben (contributor) - 2000
Persistent link: https://www.econbiz.de/10001519326
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Modeling and forecasting realized volatility
Andersen, Torben (contributor) - 2001
Persistent link: https://www.econbiz.de/10001561837
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Long-term memory in stock market prices
Lo, Andrew W. - 1989
Persistent link: https://www.econbiz.de/10000767657
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Multifrequency news and stock returns
Calvet, Laurent E.; Fisher, Adlai J. - 2005
Persistent link: https://www.econbiz.de/10002978255
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Risk, mispricing, and asset allocation : conditioning on dividend yield
Shanken, Jay; Tamayo, Ane - 2001
Persistent link: https://www.econbiz.de/10001632875
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On the relationship between the conditional mean and volatility of stock returns : a latent VAR approach
Brandt, Michael W.; Kang, Qiang - 2002
Persistent link: https://www.econbiz.de/10001683143