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Robust online scale estimation in time series : regression-free approach

Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007

This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of triangles formed by consecutive observations of the time...

Persistent link: https://www.econbiz.de/10003483698

Regression-based, regression-free and model-free approaches for robust online scale estimation

Schettlinger, Karen; Gelper, Sarah; Gather, Ursula; … - 2008

Persistent link: https://www.econbiz.de/10003977730

Robust estimation of intraweek periodicity in volatility and jump detection

Boudt, Kris; Croux, Christophe; Laurent, Sébastien - 2008

Persistent link: https://www.econbiz.de/10003977900

Robust online scale estimation in time series : a regression-free approach

Gelper, Sarah; Schettlinger, Karen; Croux, Christophe; … - 2007

Persistent link: https://www.econbiz.de/10003623661

Robust estimation of intraweek periodicity in volatility and jump detection

Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367

Persistent link: https://www.econbiz.de/10009301110

Jump robust daily covariance estimation by disentangling variance and correlation components

Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010

Persistent link: https://www.econbiz.de/10008989131

Unveiling the relationship between the transaction timing, spending and dropout behavior of customers

Glady, Nicolas; Lemmens, Aurélie; Croux, Christophe - In: International journal of research in marketing : IJRM ; … 32 (2015) 1, pp. 78-93

Persistent link: https://www.econbiz.de/10010517010

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017

Persistent link: https://www.econbiz.de/10011799030

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