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Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per; Nielsen, Morten Ørregaard - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
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Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
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Periodic stochastic volatility and fat tails
Tsiakas, Ilias - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 90-135
Persistent link: https://www.econbiz.de/10003313346
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Estimating latent variables and jump diffusion models using high-frequency data
Jiang, George J.; Oomen, Roel C. A. - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003518278
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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The HESSIAN method for models with leverage-like effects
Djegnéné, Barnabé; McCausland, William J. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 722-755
Persistent link: https://www.econbiz.de/10011339247
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Recovering statistical theory in the context of model calibrations
Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292
Persistent link: https://www.econbiz.de/10011339334
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The analysis of stochastic volatility in the presence of daily realized measures
Koopman, Siem Jan; Scharth, Marcel - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 76-115
Persistent link: https://www.econbiz.de/10009708926
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Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598