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Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365

Unit root vector autoregression with volatility induced stationarity

Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167

Persistent link: https://www.econbiz.de/10011300499

Understanding the term structure of credit default swap spreads

Han, Bing; Zhou, Yi - In: Journal of empirical finance 31 (2015), pp. 18-35

Persistent link: https://www.econbiz.de/10011489327

Moments of multivariate regime switching with application to risk-return trade-off

Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308

Persistent link: https://www.econbiz.de/10009615702

Stochastic correlation and risk premia in term structure models

Chiarella, Carl; Hsiao, Chih-ying; Tô, Thuy-Duong - In: Journal of empirical finance 37 (2016), pp. 59-78

Persistent link: https://www.econbiz.de/10011662911

Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson-Siegel models

Levant, Jared; Ma, Jun - In: Journal of empirical finance 37 (2016), pp. 117-127

Persistent link: https://www.econbiz.de/10011662967

The exact discretisation of CARMA models with applications in finance

Thornton, Michael A.; Chambers, Marcus J. - In: Journal of empirical finance 38 (2016), pp. 739-761

Persistent link: https://www.econbiz.de/10011663785

A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses

Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262

Persistent link: https://www.econbiz.de/10012103459

Macroeconomic determinants of the term structure : long-run and short-run dynamics

Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Journal of empirical finance 48 (2018), pp. 99-122

Persistent link: https://www.econbiz.de/10012109275

The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

Persistent link: https://www.econbiz.de/10012430679