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person:"Swanson, Norman R."
subject:"Volatility"
~person:"Hafner, Christian M."
~person:"Hurvich, Clifford M."
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
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Swanson, Norman R.
Hafner, Christian M.
Hurvich, Clifford M.
Kumar, Dilip
16
Maheswaran, S.
14
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11
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1
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
2
Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.
;
Hafner, Christian M.
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
Saved in:
3
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
4
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
Saved in:
5
Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina
;
Distaso, Walter
;
Swanson, Norman R.
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 119-138
Persistent link: https://www.econbiz.de/10003858447
Saved in:
6
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit S.
;
Hurvich, Clifford M.
;
Lu, Yi
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 29-58
Persistent link: https://www.econbiz.de/10003298562
Saved in:
7
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang
;
Hafner, Christian M.
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
Saved in:
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