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Asset price volatility and investment horizons : an experimental investigation

Anufriev, Mikhail; Chernulich, Aleksei; Tuinstra, Jan - In: Journal of economic behavior & organization : JEBO 193 (2022), pp. 19-48

Persistent link: https://www.econbiz.de/10013189883

Inflation and the distribution of price changes

Bryan, Michael F.; Cecchetti, Stephen G. - 1996

Persistent link: https://www.econbiz.de/10000609279

Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008695596

Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813

Midas regressions : further results and new directions

Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen I. - In: Econometric reviews 26 (2007) 1, pp. 53-90

Persistent link: https://www.econbiz.de/10003509012

Asymmetry and long memory in volatility modeling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512

Persistent link: https://www.econbiz.de/10009571512

Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584

Persistent link: https://www.econbiz.de/10011431022

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

Persistent link: https://www.econbiz.de/10011339413

Inflation targeting and exchange rate volatility : a treatment effect regression approach

Pontines, Victor - In: International economic journal 27 (2013) 1, pp. 25-39

Persistent link: https://www.econbiz.de/10009734094

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