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GMM estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
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High-frequency data and volatility in foreign-exchange rates
Zhou, Bin - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 45-52
Persistent link: https://www.econbiz.de/10001203182
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A continuous-time arbitrage-pricing model with stochastic volatility and jumps
Ho, Mun S. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10001203183
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Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
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Markov switching in GARCH processes and mean-reverting stock-market volatility
Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34
Persistent link: https://www.econbiz.de/10001214324
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Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10001214326
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The time variation of expected returns and volatility in foreign-exchange markets
Bekaert, Geert - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001190299
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Can speculative trading explain the volume-volatility relation?
Foster, F. Douglas - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 379-396
Persistent link: https://www.econbiz.de/10001190310
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Overnight and daytime stock-return dynamics on the London Stock Exchange : the impacts of "Big Bang" and the 1987 stock-market crash
Masulis, Ronald W. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 365-378
Persistent link: https://www.econbiz.de/10001190313
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A stochastic volatility model with Markov switching
So, Mike Ka-pui - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10001243996