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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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HARK the SHARK : realized volatility modeling with measurement errors and nonlinear dependencies
Buccheri, Giuseppe; Corsi, Fulvio - In: Journal of financial econometrics 19 (2021) 4, pp. 614-649
Persistent link: https://www.econbiz.de/10012654982
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne; Lucas, André - In: Journal of financial econometrics 17 (2019) 1, pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
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Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
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The VIX, the variance premium, and expected returns
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558
Persistent link: https://www.econbiz.de/10012149836
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele - In: Journal of financial econometrics 21 (2023) 2, pp. 316-367
Persistent link: https://www.econbiz.de/10014314751