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A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects

Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - In: Journal of econometrics 150 (2009) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10003858496

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009

Persistent link: https://www.econbiz.de/10003849492

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009

Persistent link: https://www.econbiz.de/10009559443

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009

Persistent link: https://www.econbiz.de/10009560379

A discrete-time model for daily S&P500 returns and realized variations : jumps and leverage effects

Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; … - 2005

Persistent link: https://www.econbiz.de/10010218862

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - In: Review of finance : journal of the European Finance … 16 (2012) 1, pp. 31-80

Persistent link: https://www.econbiz.de/10009520608

Leverage and volatility feedback effects in high-frequency data

Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384

Persistent link: https://www.econbiz.de/10003354051

Detecting multiple breaks in financial market volatility dynamics

Andreou, Elena; Ghysels, Eric - In: Journal of applied econometrics 17 (2002) 5, pp. 579-600

Persistent link: https://www.econbiz.de/10001709317

Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...

Persistent link: https://www.econbiz.de/10002482290

Predicting volatility: getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95

Persistent link: https://www.econbiz.de/10003298564