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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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A mixture mutliplicative error model for realized volatility
Lanne, Markku - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
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The implied volatility term structure of stock index options
Mixon, Scott - In: Journal of empirical finance 14 (2007) 3, pp. 333-354
Persistent link: https://www.econbiz.de/10003609837
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Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378
Persistent link: https://www.econbiz.de/10009301107