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Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo; Lin, Jin-Guan; Zhao, Yan-Yong; Hao, Hong-Xia - In: Journal of empirical finance 33 (2015), pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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Financial crisis, liquidity and dynamic linkages between large and small stocks : evidence from the Athens Stock Exchange
Koulakiotis, Athanasios; Babalos, Vassilios; … - In: Journal of international financial markets, … 40 (2016), pp. 46-62
Persistent link: https://www.econbiz.de/10011475828
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Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Wang, Kent; Liu, Junwei; Liu, Zhi - In: Journal of banking & finance 37 (2013) 5, pp. 1777-1786
Persistent link: https://www.econbiz.de/10009729461
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A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns
Huang, Yisu; Ma, Feng; Bouri, Elie; Huang, Dengshi - In: International review of financial analysis 87 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014460616
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Peer effects in the diffusion of solar photovoltaic panels
Bollinger, Bryan; Gillingham, Kenneth - In: Marketing science : the marketing journal of the … 31 (2012) 6, pp. 900-912
Persistent link: https://www.econbiz.de/10009702525
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A novel diffusion-based model for estimating cases, and fatalities in epidemics : the case of COVID-19
Eryarsoy, Enes; Delen, Dursun; Davazdahemami, Behrooz; … - In: Journal of business research : JBR 124 (2021), pp. 163-178
Persistent link: https://www.econbiz.de/10012493848
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10010281504