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type_genre:"Working Paper"
~subject:"Volatility"
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
5
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
6
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
7
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
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8
House price fluctuations and the business cycle dynamics
Abate, Girum Dagnachew
;
Anselin, Luc
-
2016
Persistent link: https://www.econbiz.de/10011447774
Saved in:
9
Regularized estimation of structural instability in factor models : the US macroeconomy and the Great Moderation
Callot, Laurent
;
Kristensen, Johannes Tang
-
2015
Persistent link: https://www.econbiz.de/10010529439
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10
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
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11
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
12
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
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13
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela
;
Schotman, Peter C.
-
2012
Persistent link: https://www.econbiz.de/10009576958
Saved in:
14
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
Saved in:
15
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin
;
Kristensen, Dennis
-
2010
Persistent link: https://www.econbiz.de/10008663983
Saved in:
16
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
17
The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model
Christensen, Bent Jesper
;
Posedel Šimović, Petra
-
2010
Persistent link: https://www.econbiz.de/10008651660
Saved in:
18
Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, Leonidas
-
2010
Persistent link: https://www.econbiz.de/10008651727
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