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Empirical tests of short-term interest rate models : a nonparametric approach

Niizeki, Mikiyo Kii - In: Applied financial economics 8 (1998) 4, pp. 347-352

Persistent link: https://www.econbiz.de/10001363502

Multivariate stochastic volatility models : estimation and a comparison with VGARCH models

Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10001374884

Measuring the predictable variation in stock and bond returns

Kirby, Chris - In: The review of financial studies 10 (1997) 3, pp. 579-630

Persistent link: https://www.econbiz.de/10001227982

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

Persistent link: https://www.econbiz.de/10009151972