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Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

Parametric estimation of long memory in factor models

Ergemen, Yunus Emre - In: Journal of econometrics 235 (2023) 2, pp. 1483-1499

Persistent link: https://www.econbiz.de/10014471404

Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014464307

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

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

Persistent link: https://www.econbiz.de/10010478989

Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models

Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70

Persistent link: https://www.econbiz.de/10012181540

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79

Persistent link: https://www.econbiz.de/10012593441

R-estimation in semiparametric dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247

Persistent link: https://www.econbiz.de/10011818285

Monetary policy uncertainty and jumps in advanced equity markets

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112

Persistent link: https://www.econbiz.de/10012500112

Forecasting the return distribution using high-frequency volatility measures

Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403

Persistent link: https://www.econbiz.de/10010247031

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