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~isPartOf:"Journal of financial econometrics"
~subject:"Time series analysis"
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Journal of financial econometrics
Journal of econometrics
106
Discussion paper / Tinbergen Institute
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Energy economics
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International journal of forecasting
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
2
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
Saved in:
3
Price discovery in a continuous-time setting
Dias, Gustavo Fruet
;
Fernandes, Marcelo
;
Scherrer, …
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 985-1008
Persistent link: https://www.econbiz.de/10012799058
Saved in:
4
Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
Saved in:
5
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
Saved in:
6
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
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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