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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Volatility estimation when the zero-process is nonstationary
Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
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Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
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A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
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Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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Modeling the conditional distribution of daily stock index returns : an alternative Bayesian semiparametric model
Kalli, Maria; Walker, Stephen G.; Damien, Paul - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 371-383
Persistent link: https://www.econbiz.de/10010337864