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The common and specific components of dynamic volatility
Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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A semiparametric GARCH model for foreign exchange volatility
Yang, Lijian - In: Journal of econometrics 130 (2006) 2, pp. 365-384
Persistent link: https://www.econbiz.de/10003277973
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
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Structural attribution of observed volatility clustering
Granger, C. W. J.; Machina, Mark J. - In: Journal of econometrics 135 (2006) 1/2, pp. 15-29
Persistent link: https://www.econbiz.de/10003376075
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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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Volatility forecasting and microstructure noise
Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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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
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High-frequency returns, jumps and the mixture of normals hypothesis
Fleming, Jeff; Paye, Bradley S. - In: Journal of econometrics 160 (2011) 1, pp. 119-128
Persistent link: https://www.econbiz.de/10009242531
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Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.; Oomen, Roel C. A. - In: Journal of econometrics 160 (2011) 1, pp. 58-68
Persistent link: https://www.econbiz.de/10009242550