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Robust estimation of the simplified multivariate GARCH model
Iqbal, Farhat - In: Empirical economics : a journal of the Institute for … 44 (2013) 3, pp. 1353-1372
Persistent link: https://www.econbiz.de/10009749477
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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Regression-based, regression-free and model-free approaches for robust online scale estimation
Schettlinger, Karen; Gelper, Sarah; Gather, Ursula; … - 2008
Persistent link: https://www.econbiz.de/10003977730
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Jump robust two time scale covariance estimation and realized volatility budgets
Boudt, Kris; Zhang, Jin - 2010
Persistent link: https://www.econbiz.de/10009127498
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Information Risk and Long-Run Performance of Initial Public Offerings
Ecker, Frank (contributor) - 2009
Frank Ecker examines the performance of U.S. initial public offerings (IPOs) from 1980 to 2002. He links positive and negative abnormal returns to the deviation of the realized information risk from the expected information risk. The author proposes effective measures for a long-term profitable...
Persistent link: https://www.econbiz.de/10013521127
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Information risk and long-run performance of initial public offerings
Ecker, Frank - 2008 - 1. ed.
Persistent link: https://www.econbiz.de/10003731502
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Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman R. - 2011
individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower … (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price … returns on 25 stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their …
Persistent link: https://www.econbiz.de/10009151972
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Volatility forecasting : downside risk, jumps and leverage effect
Audrino, Francesco; Hu, Yujia - 2011
Persistent link: https://www.econbiz.de/10009509328
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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade frict...
Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413579
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Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146
Persistent link: https://www.econbiz.de/10012133635