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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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Quarticity estimation on ohlc data
Balter, Janine - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 89-121
Persistent link: https://www.econbiz.de/10010233604
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Semiparametric density forecasts of daily financial returns from intraday data
Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432
Persistent link: https://www.econbiz.de/10010351542
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Forecasting covariance matrices : a mixed approach
Halbleib, Roxana; Voev, Valeri - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
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Real-Time GARCH
Smetanina, Ekaterina - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 561-601
Persistent link: https://www.econbiz.de/10011987644