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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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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015
Persistent link: https://www.econbiz.de/10003804813
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Investor heterogeneity, asset pricing and volatility dynamics
Weinbaum, David - In: Journal of economic dynamics & control 33 (2009) 7, pp. 1379-1397
Persistent link: https://www.econbiz.de/10003846757
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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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Optimal liquidation strategies and their implications
Ting, Christopher; Warachka, Mitch; Zhao, Yonggan - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1431-1450
Persistent link: https://www.econbiz.de/10003443549
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Continuous cascade models for asset returns
Bacry, E.; Kozhemyak, A.; Muzy, Jean-François - In: Journal of economic dynamics & control 32 (2008) 1, pp. 156-199
Persistent link: https://www.econbiz.de/10003622738
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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Filtering and identification of Heston's stochastic volatility model and its market risk
Aihara, ShinIchi; Bagchi, Arunabha - In: Journal of economic dynamics & control 30 (2006) 12, pp. 2363-2388
Persistent link: https://www.econbiz.de/10003395572
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A banking explanation of the US velocity of money : 1919 – 2004
Benk, Szilárd; Gillman, Max; Kejak, Michal - In: Journal of economic dynamics & control 34 (2010) 4, pp. 765-779
Persistent link: https://www.econbiz.de/10003966529
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Explaining dispersion in foreign exchange expectations : a heterogeneous agent approach
Ron, Jongen; Verschoor, Willem F. C.; Wolff, Christiaan … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 719-735
Persistent link: https://www.econbiz.de/10009554305