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Conference on Realized Volatility <2006, Montréal>
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National Bureau of Economic Research
1
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Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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ECONIS (ZBW)
2,021
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1
Variance trading and market price of variance
risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
2
Pricing and
hedging
long-term options
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Chen, Zhiwu
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
Saved in:
3
Using time-varying
volatility
for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
4
The memory of stochastic
volatility
models
Robinson, Peter M.
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 195-218
Persistent link: https://www.econbiz.de/10001554894
Saved in:
5
The dynamics of stochastic
volatility
: evidence from underlying and options markets
Jones, Christopher S.
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 181-224
Persistent link: https://www.econbiz.de/10001772147
Saved in:
6
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
Saved in:
7
Markov chain Monte Carlo methods for stochastic
volatility
models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
Saved in:
8
Temporal aggregation of
volatility
models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
9
Stochastic
volatility
duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
10
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia
;
Kilian, Lutz
- In:
Journal of econometrics
123
(
2004
)
1
,
pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
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