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Détection non paramétrique de sauts dans la volatilité des marchés financiers
Perron, Benoit - In: L' Actualité économique : revue trimest. 80 (2004) 2/3, pp. 229-251
Persistent link: https://www.econbiz.de/10003086172
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Jumps in the volatility of financial markets
Perron, Benoit - 1999
Persistent link: https://www.econbiz.de/10001504842
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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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Nonparametric stochastic volatility
Bandi, Federico M.; Renò, Roberto - 2009
Persistent link: https://www.econbiz.de/10003854417
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Nonstationary continuous-time processes
Bandi, Federico M.; Phillips, Peter C. B. - 2010
Persistent link: https://www.econbiz.de/10003900634
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Volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008
Persistent link: https://www.econbiz.de/10003567122
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Time-varying leverage effects
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 169 (2012) 1, pp. 94-113
Persistent link: https://www.econbiz.de/10009666736
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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
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Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua - In: Econometric reviews 27 (2008) 1/3, pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
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Separating microstructure noise from volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of financial economics 79 (2006) 3, pp. 655-692
Persistent link: https://www.econbiz.de/10003289304