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Trading activity, realized volatility and jumps
Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 168-175
Persistent link: https://www.econbiz.de/10003943976
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Modelling daily value-at-risk using realized volatility and ARCH type models
Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398
Persistent link: https://www.econbiz.de/10002050367
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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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Bayesian option pricing using asymmetric GARCH models
Bauwens, Luc; Lubrano, Michel - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705439