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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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A mixture mutliplicative error model for realized volatility
Lanne, Markku - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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Jump spillover in international equity markets
Asgharian, Hossein; Bengtsson, Christoffer - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 167-203
Persistent link: https://www.econbiz.de/10003318429
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
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Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
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Understanding analysts' earnings expectations : biases, nonlinearities, and predictability
Aiolfi, Marco; Giudice Rodriguez, Marius del; … - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 305-334
Persistent link: https://www.econbiz.de/10003997393
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Structural conditional correlation
Weber, Enzo - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 392-407
Persistent link: https://www.econbiz.de/10003997412