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Persistent link: https://www.econbiz.de/10001336796

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

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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics

Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32

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

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The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202

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Time inhomogenous multiple volatility modeling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95

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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

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

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Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model

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General-to-specific modelling of exchange rate volatility : a forecast evaluation

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