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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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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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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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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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How to forecast long-run volatility : regime switching and the estimation of multifractal processes
Calvet, Laurent E.; Fisher, Adlai J. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 49-83
Persistent link: https://www.econbiz.de/10002214188
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250
Persistent link: https://www.econbiz.de/10002214262