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Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben; Archakov, Ilya; Cebiroglu, Gökhan; … - In: Journal of econometrics 230 (2022) 2, pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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A dynamic conditional approach to forecasting portfolio weights
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126
Persistent link: https://www.econbiz.de/10012794818