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Stochastic volatility models for ordinal valued time series with application to finance

Müller, Gernot (contributor); Czado, Claudia (contributor) - 2006

In this paper we introduce two stochastic volatility models where the response variable takes on only finite many …

Persistent link: https://www.econbiz.de/10003422189

Volatility models

Morimune, Kimio - In: The Japanese economic review : the journal of the … 58 (2007) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003423150

Intermittency, long-memory and financial returns

Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006

Persistent link: https://www.econbiz.de/10003375590

Adaptive detection of multiple change-points in asset price volatility

Lavielle, Marc; Teyssière, Gilles - In: Long memory in economics : with 50 tables, (pp. 129-156). 2006

Persistent link: https://www.econbiz.de/10003375597

Wavelet analysis of nonlinear long-range dependent processes : applications to financial time series

Teyssière, Gilles; Abry, Patrice - In: Long memory in economics : with 50 tables, (pp. 173-238). 2006

Persistent link: https://www.econbiz.de/10003375645

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006

Persistent link: https://www.econbiz.de/10003375647

The microeconomic foundations of instability in financial markets

Kirman, Alan P. - In: Long memory in economics : with 50 tables, (pp. 311-344). 2006

Persistent link: https://www.econbiz.de/10003375653

Temporal aggregation and risk-return relation

Jin, Xing; Wang, Leping; Yu, Jun - In: Finance research letters 4 (2007) 2, pp. 104-115

Persistent link: https://www.econbiz.de/10003477216

Matrix-state particle filter for wishart stochastic volatility processes

Casarin, Roberto; Sartore, Domenico - 2007

Persistent link: https://www.econbiz.de/10003912295

Long memory and tail dependence in trading volume and volatility

Rossi, Eduardo; Santucci de Magistris, Paolo; … - 2008

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

Persistent link: https://www.econbiz.de/10008665277