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Bollerslev, Tim
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Conference on Realized Volatility <2006, Montréal>
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ECONIS (ZBW)
323
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1
Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis
;
Davis, Richard A.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 4-24
Persistent link: https://www.econbiz.de/10013441619
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2
Forecasting inflation using commodity price aggregates
Chen, Yu-chin
;
Turnovsky, Stephen J.
;
Zivot, Eric
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 117-134
Persistent link: https://www.econbiz.de/10010506079
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3
Long-term equity anticipation securities and stock market
volatility
dynamics
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
92
(
1999
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
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4
Local parametric analysis of hedging in discrete time
Bossaerts, Peter L.
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 243-272
Persistent link: https://www.econbiz.de/10001336795
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5
Local polynomial estimators of the
volatility
function in nonparametric autoregression
Härdle, Wolfgang
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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6
Estimation of stochastic
volatility
models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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7
The detection and estimation of long memory in stochastic
volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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8
Efficient method of moments estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
;
Chung, Hyung-Jin
;
Sørensen, Bent E.
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
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9
Dynamic equilibrium and
volatility
in financial asset markets
Aït-Sahalia, Yacine
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
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10
Estimating continuous-time stochastic
volatility
models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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