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Daily house price indexes : construction, modeling, and longer-run predictions

Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2013

Persistent link: https://www.econbiz.de/10010231930

Exploiting the errors : a simple approach for improved volatility forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2015

Persistent link: https://www.econbiz.de/10011517000

Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2016

Persistent link: https://www.econbiz.de/10011447834

Daily house price indices : construction, modeling, and longer-run predictions

Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2015 - 2. version

Persistent link: https://www.econbiz.de/10010464688

Equity clusters through the lens of realized semicorrelations

Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013172536

Multivariate leverage effects and realized semicovariance GARCH models

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 217 (2020) 2, pp. 411-430

Persistent link: https://www.econbiz.de/10012482780

From zero to hero: realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021

This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...

Persistent link: https://www.econbiz.de/10012249756

Exploiting the errors : a simple approach for improved volatility forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 192 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011610646

Daily house price indices : construction, modeling, and longer-run predictions

Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - In: Journal of applied econometrics 31 (2016) 6, pp. 1005-1025

Persistent link: https://www.econbiz.de/10011686220

Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91

Persistent link: https://www.econbiz.de/10012116125