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Stochastic tail index model for high frequency financial data with Bayesian analysis

Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487

Persistent link: https://www.econbiz.de/10012110325

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Verifying the tunisian exchange regime stability in the post-revolution period by state-space models and high-frequency data

Bouabidi, Mohamed - In: African review of economics and finance : AREF : the … 15 (2023) 2, pp. 197-214

Persistent link: https://www.econbiz.de/10014637384

A two-factor model for electricity prices with dynamic volatility

Schlüter, Stephan - 2009

The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly...

Persistent link: https://www.econbiz.de/10003894769