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Finite sample accuracy and choice of sampling frequency in integrated volatility extimation
Nielsen, Morten Ørregaard; Frederiksen, Per - In: Journal of empirical finance 15 (2008) 2, pp. 265-286
Persistent link: https://www.econbiz.de/10003699137
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Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Journal of empirical finance 17 (2010) 3, pp. 460-470
Persistent link: https://www.econbiz.de/10009267288
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Modeling structural changes in the volatility process
Frijns, Bart; Lehnert, Thorsten; Zwinkels, Remco C. J. - In: Journal of empirical finance 18 (2011) 3, pp. 522-532
Persistent link: https://www.econbiz.de/10009302073
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Does oil and gold price uncertainty matter for the stock market?
Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - In: Journal of empirical finance 44 (2017), pp. 270-285
Persistent link: https://www.econbiz.de/10011818031