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Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki; Usami, Takashi; Suto, Nobuyuki; … - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …
Persistent link: https://www.econbiz.de/10010340740
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The dynamic Skellam model with applications
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...
Persistent link: https://www.econbiz.de/10010253460
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A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
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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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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
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Score driven exponentially weighted moving average and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2014
dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
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On the stationarity of futures hedge ratios
Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633