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Econometric analysis of time-varying volatility in financial markets
Laursen, Bo - 2017
Persistent link: https://www.econbiz.de/10011818415
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Modeling financial market volatility : a component model perspective
Jakobsen, Johan Stax - 2018
Persistent link: https://www.econbiz.de/10011818780
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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Modelling and forecasting fractional volatility
Bolko, Anine Eg - 2020
Persistent link: https://www.econbiz.de/10012522449
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226
Persistent link: https://www.econbiz.de/10010365773