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Realized volatility as an instrument to official intervention
Barroso, João Barata Ribeiro Blanco - 2014
Persistent link: https://www.econbiz.de/10010471997
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Can we reject linearity in an HAR-RV model for the S&P 500? : insights from a nonparametric HAR-RV
Lahaye, Jérôme; Shaw, Philip - In: Economics letters 125 (2014) 1, pp. 43-46
Persistent link: https://www.econbiz.de/10010504778
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods
Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: International economics : a journal published by CEPII … 140 (2014), pp. 89-106
Persistent link: https://www.econbiz.de/10011525285
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How does the entropy function explain the distribution of high-frequency data?
Moriya, Hiroyuki - In: Digital Designs for Money, Markets, and Social Dilemmas, (pp. 363-383). 2022
Persistent link: https://www.econbiz.de/10013363391
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Revisiting the volatility of bitcoin with approximate entropy
Nassim Dehouche - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
, historically, Bitcoin combines high Standard Deviation and low Approximate Entropy, relative to Gold and S&P 500. Moreover …
Persistent link: https://www.econbiz.de/10013464749
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Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J.; Chan, Felix - In: Journal of economic surveys 37 (2023) 1, pp. 33-57
Persistent link: https://www.econbiz.de/10014287767
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Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
Barbachan, José Santiago Fajardo - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 319-327
Persistent link: https://www.econbiz.de/10010412452