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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data

Jiang, Binyan; Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491

Persistent link: https://www.econbiz.de/10014526333

Empirical regularities of inflation volatility : evidence from advanced and developing countries

Banerjee, Shesadri - In: South Asian journal of macroeconomics and public finance 6 (2017) 1, pp. 133-156

Persistent link: https://www.econbiz.de/10012153819

What is the investment loss due to uncertainty?

Panagiōtidēs, Theodōros; Printzis, Panagiotis - In: Global finance journal 45 (2020)

Persistent link: https://www.econbiz.de/10012503367

What is the investment loss due to uncertainty?

Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019

uncertainty. The investment performance of 14 sectors is examined within a dynamic investment model. Robust GMM estimates of the …

Persistent link: https://www.econbiz.de/10012060122

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha; Linton, Oliver - 2009

Persistent link: https://www.econbiz.de/10003971927

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha (contributor); Linton, Oliver (contributor) - 2007

Persistent link: https://www.econbiz.de/10003616363

Rounding errors and volatility estimation

Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504

Persistent link: https://www.econbiz.de/10011339292

Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study

Pauly, Ralf; Kosater, Peter - 2005

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...

Persistent link: https://www.econbiz.de/10009660996

The information content of implied volatility index (India VIX)

Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10010230219

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814

Persistent link: https://www.econbiz.de/10010363876

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