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On the modeling of financial time series
Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015
Persistent link: https://www.econbiz.de/10011326692
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Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
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Heterogeneity in stock prices : a STAR model with multivariate transition function
Lof, Matthijs - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1845-1854
Persistent link: https://www.econbiz.de/10009701922
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Common persistence in conditional variance : a reconsideration
Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
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An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Common trends and common cycles in stock markets
Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan - In: Economic modelling 35 (2013), pp. 472-476
Persistent link: https://www.econbiz.de/10010336775
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Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158