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Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10011594405

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111

Persistent link: https://www.econbiz.de/10011557073

A non-parametric estimator for stochastic volatility density

Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10012655445

Nonparametric estimation of large spot volatility matrices for high-frequency financial data

Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022

Persistent link: https://www.econbiz.de/10013263439

Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

Volatility of stock market indices : an analysis based on SEMIFAR models

Beran, Jan; Ocker, Dirk - 1999

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some...

Persistent link: https://www.econbiz.de/10011543477