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Implied volatility and investor beliefs in experimental asset markets
Ackert, Lucy F.; Kluger, Brian D.; Qi, Li - In: Journal of financial markets 43 (2019), pp. 121-136
Persistent link: https://www.econbiz.de/10012316306
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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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Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
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The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
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Nonstationary nonlinear heteroskedasticity in regression
Chung, Heetaik; Park, Joon Y. - In: Journal of econometrics 137 (2007) 1, pp. 230-259
Persistent link: https://www.econbiz.de/10003425535
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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GARCH with omitted persistent covariate
Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
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Nonstationary nonlinear heteroskedasticity in regression
Chung, Heetaik (contributor); Park, Joon Y. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003273543
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Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun; Park, Joon Y.; Wang, Bin - In: Econometric theory 37 (2021) 5, pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
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Nonparametric estimation of jump diffusion models
Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715
Persistent link: https://www.econbiz.de/10012619778