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Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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Financial crisis, liquidity and dynamic linkages between large and small stocks : evidence from the Athens Stock Exchange
Koulakiotis, Athanasios; Babalos, Vassilios; … - In: Journal of international financial markets, … 40 (2016), pp. 46-62
Persistent link: https://www.econbiz.de/10011475828
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun; Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, … - In: Journal of empirical finance 70 (2023), pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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Incremental value-at-risk
Mitic, Peter; Cooper, James; Bloxham, Nicholas - In: The journal of risk model validation 14 (2020) 1, pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry - 2015
Persistent link: https://www.econbiz.de/10011289172