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Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1086-1132
Persistent link: https://www.econbiz.de/10013463390
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Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
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The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
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Identifying latent factors based on high-frequency data
Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10014341048