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Identification of volatility proxies as expectations of squared financial returns

Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690

Persistent link: https://www.econbiz.de/10013274330

Nonparametric predictive regressions for stock return brediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012698837

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Modeling stock market returns under self-exciting threshold autoregressive model : evidence from West Africa

Gyamfi, Emmanuel Numapau; Kyei, Kwabena A. - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1194-1199

Persistent link: https://www.econbiz.de/10011698077

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10011704099

Copula function approaches for the analysis of serial and cross dependence in stock returns

Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61

Persistent link: https://www.econbiz.de/10011596218

Inference on the tail process with application to financial time series modeling

Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525

Persistent link: https://www.econbiz.de/10012110330