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Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
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Equity trading volume and volatility : latent information arrivals and common long-run dependencies
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 9-21
Persistent link: https://www.econbiz.de/10001253392
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Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
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Risk everywhere : modeling and managing volatility
Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, … - In: The review of financial studies 31 (2018) 7, pp. 2729-2773
Persistent link: https://www.econbiz.de/10011927185
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Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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The generalized extreme value distribution
Bali, Turan G. - In: Economics letters 79 (2003) 3, pp. 423-427
Persistent link: https://www.econbiz.de/10001755303
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Excessive variation in risk-factor correlations and volatilities
Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: The journal of futures markets 22 (2002) 12, pp. 1119-1146
Persistent link: https://www.econbiz.de/10001713588
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784