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Multifractal volatility : theory, forecasting, and pricing
Calvet, Laurent E.; Fisher, Adlai - 2008
Persistent link: https://www.econbiz.de/10003719647
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Long-term real dynamic investment planning
Gerrard, Russell; Hiabu, Munir; Nielsen, Jens Perch; … - In: Insurance / Mathematics & economics 92 (2020), pp. 90-103
Persistent link: https://www.econbiz.de/10012242041
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Volatility forecasting when the noise variance Is time-varying
Chaker, Selma; Meddahi, Nour - 2013
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...
Persistent link: https://www.econbiz.de/10010225492
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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1991
Persistent link: https://www.econbiz.de/10000085068
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003769457
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003790675
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Cross-sectional asset pricing tests
Jagannathan, Ravi; Schaumburg, Ernst; Zhou, Guofu - In: Annual review of financial economics 2 (2010), pp. 49-74
Persistent link: https://www.econbiz.de/10008797839
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Demographics and the econometrics of the term structure of stock market Rrisk
Favero, Carlo A.; Tamoni, Andrea - 2010
Persistent link: https://www.econbiz.de/10011334805
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X.; Strasser, Georg H. - 2008
We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset … return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …
Persistent link: https://www.econbiz.de/10003831222
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New methods in financial modeling : explorations and applications
Stokes, Houston H. - 1998 - 1. publ.
Persistent link: https://www.econbiz.de/10013549334