Narrow search
Showing 1 - 10 of 17
Cover Image
Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Cover Image
Volatility jumps
Todorov, Viktor; Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 356-371
Persistent link: https://www.econbiz.de/10009232547
Cover Image
Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models
Todorov, Viktor; Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 455-469
Persistent link: https://www.econbiz.de/10003385169
Cover Image
Volatility Jumps
Todorov, Viktor; Tauchen, George - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 356-372
Persistent link: https://www.econbiz.de/10009179755
Cover Image
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
Todorov, Viktor; Tauchen, George - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 455-469
Persistent link: https://www.econbiz.de/10008222287
Cover Image
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
Cover Image
The message in daily exchange rates : a conditional-variance tale
Baillie, Richard - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 3, pp. 297-305
Persistent link: https://www.econbiz.de/10001069396
Cover Image
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
Cover Image
Dan Nelson remembered
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 361-364
Persistent link: https://www.econbiz.de/10001190316
Cover Image
Equity trading volume and volatility : latent information arrivals and common long-run dependencies
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 9-21
Persistent link: https://www.econbiz.de/10001253392