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Volatility
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Bollerslev, Tim
19
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Aït-Sahalia, Yacine
11
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9
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8
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7
Patton, Andrew J.
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Kim, Donggyu
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Asai, Manabu
5
Gallant, A. Ronald
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Hallin, Marc
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Li, Yingying
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Taylor, Robert
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Conference on Realized Volatility <2006, Montréal>
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786
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ECONIS (ZBW)
351
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1
Antitrust issues in international comparisons of market structure
Hirschberg, Joseph G.
;
Maasoumi, Esfandiar
;
Slottje, …
- In:
Journal of econometrics
113
(
2003
)
1
,
pp. 129-158
Persistent link: https://www.econbiz.de/10001739290
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2
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
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3
Realized
volatility
forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
4
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze
;
Linton, Oliver
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
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5
Econometric estimation in long-range dependent
volatility
models : theory and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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6
Testing for a change in persistence in the presence of non-stationary
volatility
Cavaliere, Giuseppe
;
Taylor, Robert
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
Saved in:
7
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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8
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:
9
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
10
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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