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A comparison of several procedures for estimating value-at-risk in mature and emerging markets
Mihailescu, Laurenţiu - 2002
Persistent link: https://www.econbiz.de/10001693163
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Essays in empirical finance
Andersson, Magnus - 2007
Persistent link: https://www.econbiz.de/10003738211
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003903350
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Realized correlation tick-by-tick
Corsi, Fulvio; Audrino, Francesco - 2007
Persistent link: https://www.econbiz.de/10003419771
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003676667
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Challenges in empirical estimation of term structure in India
Sinha, Suyash; Gupta, Chandra P. - In: Paradigm : the journal of Institute of Management Technology 13 (2009) 2, pp. 110-115
Persistent link: https://www.econbiz.de/10009155085
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
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Missing events in event studies : identifying the effects of partially-measured news surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018
Persistent link: https://www.econbiz.de/10011981002
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A nonparametric method for term structure fitting with automatic smoothing
Kaushanskiy, Vadim; Lapshin, Victor - In: Applied economics 48 (2016) 58/60, pp. 5654-5666
Persistent link: https://www.econbiz.de/10011772026
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Missing events in event studies : identifying the effects of partially-measured news surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011900777