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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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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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Volatility puzzles: a simple framework for gauging return-volatility regressions
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 131 (2006) 1, pp. 123-150
Persistent link: https://www.econbiz.de/10006747796
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-246
Persistent link: https://www.econbiz.de/10008770541
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-119
Persistent link: https://www.econbiz.de/10008770550
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
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Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" (J. Econom. 109 (2002) 33-65)
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 119 (2004) 1, pp. 221
Persistent link: https://www.econbiz.de/10006758247
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10006767849
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533