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Stochastic Correlation in Comm...
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Stochastic process
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Phillips, Peter C. B.
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Journal of econometrics
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739
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602
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554
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ECONIS (ZBW)
364
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1
Increased
correlation
among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
2
Bootstrap specification tests for linear covariance stationary processes
Hidalgo, Javier
;
Kreiß, Jens-Peter
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 807-839
Persistent link: https://www.econbiz.de/10003359648
Saved in:
3
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
Saved in:
4
Local Gaussian
correlation
: a new measure of dependence
Tjostheim, Dag
;
Hufthammer, Karl Ove
- In:
Journal of econometrics
172
(
2013
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10009702320
Saved in:
5
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Saved in:
6
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
7
Nonparametric inference of discretely sampled stable Lévy processes
Zhao, Zhibiao
;
Wu, Wei Biao
- In:
Journal of econometrics
153
(
2009
)
1
,
pp. 83-92
Persistent link: https://www.econbiz.de/10003892656
Saved in:
8
Econometric specification of stochastic discount factor models
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
136
(
2007
)
2
,
pp. 509-530
Persistent link: https://www.econbiz.de/10003412662
Saved in:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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