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1
Improving forecasts with the co-range dynamic conditional correlation model
Fiszeder, Piotr
;
Fałdziński, Marcin
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012313608
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
A practical multivariate approach to testing
volatility
spillover
Leong, Soon Heng
;
Urga, Giovanni
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479289
Saved in:
10
A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
Castle, Jennifer
;
Kurita, Takamitsu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012628234
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