Narrow search
Showing 1 - 10 of 121
Cover Image
Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Cover Image
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
Cover Image
Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns
Andersen, Torben G. - 2010
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...
Persistent link: https://www.econbiz.de/10012763898
Cover Image
Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns
Andersen, Torben G. - 1996
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...
Persistent link: https://www.econbiz.de/10012473082
Cover Image
DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000609240
Cover Image
Volatility and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - 2016
Persistent link: https://www.econbiz.de/10011524097
Cover Image
Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben; Bollerslev, Tim - In: Foreign exchange markets, (pp. 133-179). 2005
Persistent link: https://www.econbiz.de/10003290893
Cover Image
Dm-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Andersen, Torben G. - 2008
features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return …
Persistent link: https://www.econbiz.de/10012774970
Cover Image
Volume, volatility, and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - In: The review of economic studies 85 (2018) 4/305, pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
Cover Image
DM-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Andersen, Torben G. - 1996
features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return …
Persistent link: https://www.econbiz.de/10012473050