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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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The information content of implied volatility index (India VIX)
Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378
Persistent link: https://www.econbiz.de/10010230219
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 192 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
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Rounding errors and volatility estimation
Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf; Kosater, Peter - 2005
article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing …
Persistent link: https://www.econbiz.de/10009660996
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
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Missing variation in the Great Moderation : lack of signal error and OLS regression
Nalewaik, Jeremy - 2014
Persistent link: https://www.econbiz.de/10010433458
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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf; Kosater, Peter - 2005 - Preliminary version
Persistent link: https://www.econbiz.de/10003204016
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Application of a Log Likelihood Object In GARCH with T-distributed errors and EGARCH With Generalised Error Distribution Model of the Spot AUD/USD Exchange Rate Volatility
Guirguis, Michel - 2018
and select the maximum value of the log likelihood estimation of the AUD/USD spot exchange rate. The log likelihood model … it has the maximum log likelihood estimation of -500.354. The average log likelihood is -1.81. The Akaike information …
Persistent link: https://www.econbiz.de/10012910781