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The common and specific components of dynamic volatility

Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255

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Approximating volatility diffusions with CEV-ARCH models

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Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

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Multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

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Decomposing densities of stock indexes returns

Sun, Yiguo (contributor) - 2004

Persistent link: https://www.econbiz.de/10003357872

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204

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Multivariate GARCH models : a survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-109

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The effectiveness of central bank intervention in the EMS : the post 1993 experience

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Volatility and correlation forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10003338446

Mandelbrot and the smile

Lehnert, Thorsten - In: Kredit und Kapital 42 (2009) 1, pp. 125-144

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