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isPartOf:"The econometrics journal"
~isPartOf:"Journal of banking & finance"
~subject:"Stochastic process"
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ECONIS (ZBW)
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Saved in:
3
VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
Saved in:
4
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
Saved in:
5
Stationarity of a family of GARCH processes
Liu, Ji-chun
- In:
The econometrics journal
12
(
2009
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10003948829
Saved in:
6
Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
Dēmos, Antōnēs A.
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 345-357
Persistent link: https://www.econbiz.de/10001713296
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