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A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

Dynamic autocorrelation and international portfolio allocation

Kinnunen, Jyri; Martikainen, Minna - In: Multinational finance journal 21 (2017) 1, pp. 21-48

Persistent link: https://www.econbiz.de/10012547453

The long memory of order flow in the foreign exchange spot market

Gould, Martin; Porter, Mason A.; Howison, Sam - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588230

Drawdown measures and return moments

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033

A consistent and robust test for autocorrelated jump occurrences

Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186

Persistent link: https://www.econbiz.de/10014526309

Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling

Borovkova, Svetlana - 2012

This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...

Persistent link: https://www.econbiz.de/10013097898