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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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Improving asset price prediction when all models are false
Durham, Garland; Geweke, John - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
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Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
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A closer look at the relation between GARCH and stochastic autoregressive volatility
Fleming, Jeff; Kirby, Chris - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 365-419
Persistent link: https://www.econbiz.de/10002214166
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633