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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
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Computing value at risk with high frequency data
Beltratti, Andrea; Morana, Claudio - In: Journal of empirical finance 6 (1999) 5, pp. 431-455
Persistent link: https://www.econbiz.de/10001505778
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Maximum likelihood estimation of non-affine volatility processes
Chourdakis, Kyriakos; Dotsis, George - In: Journal of empirical finance 18 (2011) 3, pp. 533-545
Persistent link: https://www.econbiz.de/10009302070
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Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
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The frequency of regime switching in financial market volatility
BenSaïda, Ahmed - In: Journal of empirical finance 32 (2015), pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
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Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors
Xinyi, Liu; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496
Persistent link: https://www.econbiz.de/10009615667
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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Volatility estimation via hidden Markov models
Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275