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Inside volatility arbitrage : the secrets of skewness

Javaheri, Alireza - 2005

Persistent link: https://www.econbiz.de/10013490205

Speculative bubbles in recent oil price dynamics : evidence from a Bayesian Markov-switching state-space approach

Lammerding, Marc; Stephan, Patrick; Trede, Mark; … - In: Energy economics 36 (2013), pp. 491-502

Persistent link: https://www.econbiz.de/10009724652

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12

Persistent link: https://www.econbiz.de/10003301505

Ordinal- and continuous-response stochastic volatility models for price changes : an empirical comparison

Czado, Claudia; Müller, Gernot; Nguyen, Thi-Ngoc-Giau - In: Statistical modelling and regression structures : …, (pp. 301-320). 2010

Persistent link: https://www.econbiz.de/10003964492

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011379469

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009627354

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009628606

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