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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - 2009
Persistent link: https://www.econbiz.de/10009428004
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An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wang, Yazhen - In: Journal of econometrics 203 (2018) 1, pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
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A Note on Food Inflation in Pakistan
Hanif, Muhammad Nadim - Volkswirtschaftliche Fakultät, … - 2012
. Global food inflation caused food inflation in Pakistan. However, food inflation diffusion has been lower compared to non …
Persistent link: https://www.econbiz.de/10011114463
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010294979
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295106
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010295136
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The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2006
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295151