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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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Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
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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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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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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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Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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Causality effects in return volatility measures with random times
Renault, Eric; Werker, Bas J. M. - In: Journal of econometrics 160 (2011) 1, pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
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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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Forecasting multivariate realized stock market volatility
Bauer, Gregory H.; Vorkink, Keith - In: Journal of econometrics 160 (2011) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
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Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76
Persistent link: https://www.econbiz.de/10009242544