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Realized volatility forecasting and market microstructure noise
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-235
Persistent link: https://www.econbiz.de/10008770542
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-190
Persistent link: https://www.econbiz.de/10008770545
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10007615316
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
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Testing normality: a GMM approach
Bontemps, Christian; Meddahi, Nour - In: Journal of econometrics 124 (2005) 1, pp. 149-186
Persistent link: https://www.econbiz.de/10006749144
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Temporal aggregation of volatility models
Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-380
Persistent link: https://www.econbiz.de/10006757703
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10010052630