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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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The relative contribution of jumps to total price variance
Huang, Xin; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 456-499
Persistent link: https://www.econbiz.de/10003154293
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Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference
Ghysels, Eric; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 227-228
Persistent link: https://www.econbiz.de/10011588981