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Testing distributional assumptions using a continuum of moments
Amengual, Dante; Carrasco, Marine; Sentana, Enrique - In: Journal of econometrics 218 (2020) 2, pp. 655-689
Persistent link: https://www.econbiz.de/10012483175
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Convolution without independence
Schennach, Susanne M. - In: Journal of econometrics 211 (2019) 1, pp. 308-318
Persistent link: https://www.econbiz.de/10012303629
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The triangular model with random coefficients
Hoderlein, Stefan; Holzmann, Hajo; Meister, Alexander - In: Journal of econometrics 201 (2017) 1, pp. 144-169
Persistent link: https://www.econbiz.de/10011917439
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Volatility of volatility and leverage effect from options
Chong, Carsten H.; Todorov, Viktor - In: Journal of econometrics 240 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015074616
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Bias reduction in spot volatility estimation from options
Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Nonparametric specification tests for stochastic volatility models based on volatility density
Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10011499459