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Anbarcı, Nejat; Hill, Jonathan B.; Kirmanoğlu, Hasan - In: Economic papers : a journal of applied economics and policy 30 (2011) 2, pp. 233-252

Persistent link: https://www.econbiz.de/10009157929

Robust score and portmanteau tests of volatility spillover

Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61

Persistent link: https://www.econbiz.de/10011326820

Factor analysis with large panels volatility proxies

Ghysels, Eric - 2014

Persistent link: https://www.econbiz.de/10010382083

Trading patterns, time deformation and stochastic volatility in foreign exchange markets

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996

Persistent link: https://www.econbiz.de/10000952887

Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

Persistent link: https://www.econbiz.de/10003331375

Price momentum in stocks : insights from Victorian age data

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2008

Persistent link: https://www.econbiz.de/10003791258

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365

The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531

Why do absolute returns predict volatility so well?

Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67

Persistent link: https://www.econbiz.de/10003518282