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Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
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Econometric analysis of jump-driven stochastic volatility models
Todorov, Viktor - In: Journal of econometrics 160 (2011) 1, pp. 12-21
Persistent link: https://www.econbiz.de/10009242565
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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - In: Journal of econometrics 175 (2013) 2, pp. 142-153
Persistent link: https://www.econbiz.de/10009764416
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397