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Journal of empirical finance
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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334
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ECONIS (ZBW)
431
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1
The contribution of jump signs and activity to forecasting stock price
volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
2
High frequency lead/lag relationships : empirical facts
Huth, Nicolas
;
Abergel, Frédéric
- In:
Journal of empirical finance
26
(
2014
),
pp. 41-58
Persistent link: https://www.econbiz.de/10010472008
Saved in:
3
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Saved in:
4
On the robustness of the principal
volatility
components
Trucíos, Carlos
;
Hotta, Luiz K.
;
Pereira, Pedro L. Valls
- In:
Journal of empirical finance
52
(
2019
),
pp. 201-219
Persistent link: https://www.econbiz.de/10012171112
Saved in:
5
ABC of SV: limited information likelihood inference in stochastic
volatility
jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
6
Two-step estimation of the
volatility
functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
7
Testing against changing
correlation
Harvey, Andrew C.
;
Thiele, Stephen
- In:
Journal of empirical finance
38
(
2016
),
pp. 575-589
Persistent link: https://www.econbiz.de/10011663373
Saved in:
8
An adaptive long memory conditional
correlation
model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
9
Multivariate models with long memory dependence in conditional
correlation
and
volatility
Dark, Jonathan
- In:
Journal of empirical finance
48
(
2018
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
Saved in:
10
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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