Narrow search
Showing 1 - 10 of 13
Cover Image
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Cover Image
Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Cover Image
Box-Cox transforms for realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
Cover Image
Realized volatility
Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1
Persistent link: https://www.econbiz.de/10009242567
Cover Image
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour (contributor); Mykland, Per A. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10009244600
Cover Image
Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
Cover Image
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Cover Image
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Cover Image
Temporal aggregation of volatility models
Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Cover Image
Volatility regressions with fat tails
Kim, Jihyun; Meddahi, Nour - In: Journal of econometrics 218 (2020) 2, pp. 690-713
Persistent link: https://www.econbiz.de/10012483177