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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - 1998
Persistent link: https://www.econbiz.de/10000998139
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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
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Evaluating density forecasts with applications to financial risk management
Diebold, Francis X. - In: International economic review 39 (1998) 4, pp. 863-883
Persistent link: https://www.econbiz.de/10001338810
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Realized return volatility, asset pricing, and risk management
Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
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On the dynamic transmission of mean and volatility across the Arab stock markets
Bouri, Elie; Azzi, Georges - In: Journal of emerging market finance 13 (2014) 3, pp. 279-304
Persistent link: https://www.econbiz.de/10010492029
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Spillovers between Bitcoin and other assets during bear and bull markets
Bouri, Elie; Das, Mahamitra; Gupta, Rangan; Roubaud, David - In: Applied economics 50 (2018) 55, pp. 5935-5949
Persistent link: https://www.econbiz.de/10012062940