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~person:"Hounyo, Ulrich"
~person:"Nielsen, Morten Ørregaard"
~person:"Sucarrat, Genaro"
~subject:"ARCH model"
~subject:"Time series analysis"
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Hounyo, Ulrich
Nielsen, Morten Ørregaard
Sucarrat, Genaro
McAleer, Michael
151
Gupta, Rangan
83
Caporale, Guglielmo Maria
74
Ma, Feng
71
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49
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47
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42
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42
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38
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37
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35
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35
Zhang, Yaojie
34
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33
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31
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30
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30
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ECONIS (ZBW)
41
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1
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
- In:
Economic modelling
49
(
2015
),
pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
Saved in:
2
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
-
2016
Persistent link: https://www.econbiz.de/10011541411
Saved in:
3
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2016
Persistent link: https://www.econbiz.de/10011479764
Saved in:
4
Bootrstrapping high-frequency jump tests
Dovonon, Prosper
;
Gonçalves, Sílvia
;
Hounyo, Ulrich
; …
-
2016
Persistent link: https://www.econbiz.de/10011479788
Saved in:
5
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
6
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
Saved in:
7
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
8
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
9
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
10
A local Gaussian bootstrap method for realized volatility and realized beta
Hounyo, Ulrich
- In:
Econometric theory
35
(
2019
)
2
,
pp. 360-416
Persistent link: https://www.econbiz.de/10012146140
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