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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009
Persistent link: https://www.econbiz.de/10003867880
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Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Rosenow, Bernd - In: Journal of economic dynamics & control 32 (2008) 1, pp. 279-302
Persistent link: https://www.econbiz.de/10003622775
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - 2012
Persistent link: https://www.econbiz.de/10009579904
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Covariance estimation using high-low prices with implications for futures vs spot volatility
Padmakumari, Lakshmi; Maheswaran, S. - In: Finance India : the quarterly journal of Indian … 34 (2020) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10012663836
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Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel - 2020
Persistent link: https://www.econbiz.de/10012488824
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A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt
Ejaz, Abdullah; Polak, Petr - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200
Persistent link: https://www.econbiz.de/10012659646
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Moving average models for volatility and correlation, and covariance matrices
Alexander, Carol - 2008
Persistent link: https://www.econbiz.de/10003765837