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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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Two-scale realized kernels : a univariate case
Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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Prediction power of high-frequency based volatility measures : a model based approach
Hamid, Alain - In: Review of managerial science 9 (2015) 3, pp. 549-576
Persistent link: https://www.econbiz.de/10011283668
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Bias-corrected realized variance
Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
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Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019
Persistent link: https://www.econbiz.de/10012157341
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On estimating market microstructure noise variance
Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62
Persistent link: https://www.econbiz.de/10011762850
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A new statistic to capture the level dependence in stock price volatility
Padmakumari, Lakshmi; Maheswaran, S. - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 355-362
Persistent link: https://www.econbiz.de/10011792503