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Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model
Bollerslev, Tim - In: The review of economics and statistics 72 (1990) 3, pp. 498-505
Persistent link: https://www.econbiz.de/10001093160
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A conditionally heteroskedastic time series model for speculative prices and rates of return
Bollerslev, Tim - In: The review of economics and statistics 69 (1987) 3, pp. 542-547
Persistent link: https://www.econbiz.de/10001032369
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High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
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Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
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Testing the dimensionality of policy shocks
Li, Jia; Todorov, Viktor; Zhang, Qiushi - In: The review of economics and statistics 106 (2024) 2, pp. 470-482
Persistent link: https://www.econbiz.de/10014536844
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Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10007861554
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HIGH-FREQUENCY DATA, FREQUENCY DOMAIN INFERENCE, AND VOLATILITY FORECASTING
Bollerslev, Tim; Wright, Jonathan H. - In: The review of economics and statistics 83 (2001) 4, pp. 596-602
Persistent link: https://www.econbiz.de/10006377371