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Approximating volatility diffusions with CEV-ARCH models
Fornari, Fabio; Mele, Antonio - In: Journal of economic dynamics & control 30 (2006) 6, pp. 931-966
Persistent link: https://www.econbiz.de/10003327657
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A conditional extreme value volatility estimator based on high-frequency returns
Bali, Turan G.; Weinbaum, David - In: Journal of economic dynamics & control 31 (2007) 2, pp. 361-397
Persistent link: https://www.econbiz.de/10003412285
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Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: Journal of economic dynamics & control 42 (2014), pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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On fiscal and monetary policy-induced macroeconomic volatility dynamics
Liu, Xiaochun - In: Journal of economic dynamics & control 127 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012668875
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640
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Impact of value-at-risk models on market stability
Llacay, Bàrbara; Peffer, Gilbert - In: Journal of economic dynamics & control 82 (2017), pp. 223-256
Persistent link: https://www.econbiz.de/10011915567
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Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo; Gençay, Ramazan - In: Journal of economic dynamics & control 92 (2018), pp. 30-46
Persistent link: https://www.econbiz.de/10011974231