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Taming the skew : higher-order moments in modeling asset price processes in finance
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1997
Persistent link: https://www.econbiz.de/10000626665
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009
Persistent link: https://www.econbiz.de/10003867880
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Estimation of asymmetric stochastic volatility models for stock-exchange index returns
Del Carmen García Centeno, María; Minguez Salido, Román - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10003813391
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - 2012
Persistent link: https://www.econbiz.de/10009579904
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
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Moving average-based estimators of integrated variance
Hansen, Peter Reinhard; Large, Jeremy; Lunde, Asger - In: Econometric reviews 27 (2008) 1/3, pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
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System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
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Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
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Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results
Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376
Persistent link: https://www.econbiz.de/10001695282