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ECONIS (ZBW)
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1
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
2
Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
- In:
Journal of banking & finance
99
(
2019
),
pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
Saved in:
3
A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
Saved in:
4
Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
Lai, Yu-Sheng
- In:
Review of derivatives research
21
(
2018
)
3
,
pp. 307-329
Persistent link: https://www.econbiz.de/10012055744
Saved in:
5
Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René
;
Fouque, Jean-Pierre
;
Vestal, Douglas
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
Saved in:
6
Implications of market microstructure for realized variance measurement
Djupsjöbacka, Daniel
- In:
The European journal of finance
16
(
2010
)
1/2
,
pp. 27-43
Persistent link: https://www.econbiz.de/10003954407
Saved in:
7
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
8
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
Saved in:
9
Measuring and forecasting financial market volatility using high-frequency data
Bannouh, Karim
-
2013
Persistent link: https://www.econbiz.de/10009707692
Saved in:
10
Time-varying correlation and common structures in volatility
Liu, Yang
-
2016
Persistent link: https://www.econbiz.de/10011556381
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