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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10008143206
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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-47
Persistent link: https://www.econbiz.de/10008898207
Cover Image
Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-160
Persistent link: https://www.econbiz.de/10008770547
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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
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A nonlinear autoregressive conditional duration model with applications to financial transaction data
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179
Persistent link: https://www.econbiz.de/10006774037
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Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
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Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10006763070
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On the functional estimation of jump-diffusion models
Bandi, Federico M.; Nguyen, Thong H. - In: Journal of econometrics 116 (2003) 1/2, pp. 293-328
Persistent link: https://www.econbiz.de/10001772153
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A simple approach to the parametric estimation of potentially nonstationary diffusions
Bandi, Federico M.; Phillips, Peter C.B. - In: Journal of econometrics 137 (2007) 2, pp. 354-395
Persistent link: https://www.econbiz.de/10007604727