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Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379

Persistent link: https://www.econbiz.de/10011962562

Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016

Persistent link: https://www.econbiz.de/10011778131

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

Forecasting volatility in the financial markets

Knight, John L. (contributor); Satchell, Stephen (contributor) - 1998

Persistent link: https://www.econbiz.de/10000666770

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...