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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim (contributor); Dijk, Dick van (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003754160
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The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations
Chulia-Soler, Helena (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003651504
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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006
Persistent link: https://www.econbiz.de/10003332143
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Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation
Bataa, Erdenebat; Osborn, Denise R.; Sensier, Marianne; … - 2008
Persistent link: https://www.econbiz.de/10003790654
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Measuring volatility with the realized range
Martens, Martin; Dijk, Dick van - In: Journal of econometrics 138 (2007) 1, pp. 181-207
Persistent link: https://www.econbiz.de/10003451757
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Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
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Measuring volatility with the realized range
Martens, Martin (contributor); Dijk, Dick van (contributor) - 2006
Persistent link: https://www.econbiz.de/10003303567
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Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
Chuliá, Helena; Martens, Martin; Dijk, Dick van - In: Journal of banking & finance 34 (2010) 4, pp. 834-839
Persistent link: https://www.econbiz.de/10003966116
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080