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Covariance estimation using high-low prices with implications for futures vs spot volatility

Padmakumari, Lakshmi; Maheswaran, S. - In: Finance India : the quarterly journal of Indian … 34 (2020) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10012663836

Modelling stock market volatility : bridging the gap to continuous time

Rossi, Peter E. (ed.) - 1996

Persistent link: https://www.econbiz.de/10013475092

Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten

Grammig, Joachim (contributor) - 1998

Persistent link: https://www.econbiz.de/10013444373

Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System

Kömm, Holger - 2016 - 1st ed. 2016

This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...

Persistent link: https://www.econbiz.de/10014018810

Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867

Persistent link: https://www.econbiz.de/10003800096

Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory

Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302

Persistent link: https://www.econbiz.de/10003622775

The modified mixture of distributions model : a revisit

Fong, Wai-mun; Wong, Wing Keung - In: Annals of finance 2 (2006) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10003282228

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

Parameter estimation of a generalized Langevin equation of market price

Lee, Min G.; Oba, Akihiko; Takayasu, Hideki - In: Empirical science of financial fluctuations : the …, (pp. 260-270). 2002

Persistent link: https://www.econbiz.de/10001679503

The Japanese stock rate of return and volatility : a comparison of methods to estimate volatilities

Niizeki, Mikiyo Kii - In: Keizaigaku-ronsō 49 (1998) 4, pp. 67-93

Persistent link: https://www.econbiz.de/10001241156

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