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Forecasting S&P 100 volatility : the incremental information content of implied volatilities and high-frequency index returns
Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen - In: Journal of econometrics 105 (2001) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10001617140
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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The nonlinear price dynamics of US equity ETFs
Caginalp, Gunduz; DeSantis, Mark; Sayrak, Akin - In: Journal of econometrics 183 (2014) 2, pp. 193-201
Persistent link: https://www.econbiz.de/10010506060
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver; Wu, Jianbin - In: Journal of econometrics 217 (2020) 1, pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
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Distribution theory for unit root tests with conditional heteroskedasticity
Seo, Byeongseon - In: Journal of econometrics 91 (1999) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10001382163
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Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el; Zakoïan, Jean-Michel - In: Journal of econometrics 101 (2001) 2, pp. 257-294
Persistent link: https://www.econbiz.de/10001554899