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Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Modeling jumps and volatility of the indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10012418200

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012502523

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

Persistent link: https://www.econbiz.de/10012023869

Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index

Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88

Persistent link: https://www.econbiz.de/10012030843

Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

Modeling jumps and volatility of the Indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10011639870

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model

Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84

Persistent link: https://www.econbiz.de/10013411688

News arrival, time-varying jump intensity, and realized volatility : conditional testing approach

Erdemlioglu, Deniz; Yang, Xiye - In: Journal of financial econometrics 21 (2023) 5, pp. 1519-1556

Persistent link: https://www.econbiz.de/10014444697