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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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Robust inference in single firm/single event analyses
Elsas, Ralf; Schoch, Daniela - In: The journal of corporate finance : contracting, … 80 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014365119
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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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A closed-form formula characterization of the Epps effect
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254
Persistent link: https://www.econbiz.de/10012194864
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Quantifying time variation and asymmetry in measures of covariance risk : a simulation approch
Henry, Ólan Thomas John; Olekalns, Nilss; Shields, … - In: Handbook of research methods and applications in …, (pp. 457-475). 2013
Persistent link: https://www.econbiz.de/10011897560
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New methods for inference in long-run predictive regressions
Hjalmarsson, Erik - 2006
Persistent link: https://www.econbiz.de/10003336051
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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
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Testing for rational bubbles in a co-explosive vector autoregression
Engsted, Tom; Nielsen, Bent - 2010
Persistent link: https://www.econbiz.de/10003978304
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Predictive inference for integrated volatility
Corradi, Valentina (contributor);  … - 2006
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10003698497