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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 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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Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 10 (2012) 2, pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
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Bayesian dynamic modeling of high-frequency integer price changes
Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424
Persistent link: https://www.econbiz.de/10011987788