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Modeling volatility dynamics

Diebold, Francis X.; López, José A. - 1995

Persistent link: https://www.econbiz.de/10000945662

Modeling volatility dynamics

Diebold, Francis X.; García López, José A. - 1995

Persistent link: https://www.econbiz.de/10000920972

Modeling volatility dynamics

Diebold, Francis X.; Lopez, Jose A. - 1995

Persistent link: https://www.econbiz.de/10000587223

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - 2016

Persistent link: https://www.econbiz.de/10011541411

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579

Persistent link: https://www.econbiz.de/10011499761

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298

Persistent link: https://www.econbiz.de/10011972846

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

Persistent link: https://www.econbiz.de/10010394614

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001846702

Forecast evaluation of explanatory models of financial variability

Sucarrat, Genaro - 2009

A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

Persistent link: https://www.econbiz.de/10003829997