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22
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21
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1
Real-time Bayesian learning and
bond
return predictability
Wan, Runqing
;
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 114-130
Persistent link: https://www.econbiz.de/10013441922
Saved in:
2
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
Saved in:
3
Realized matrix-exponential stochastic
volatility
with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
5
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
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6
The detection and
estimation
of long memory in stochastic
volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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7
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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8
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
9
High-frequency returns, jumps and the mixture of normals hypothesis
Fleming, Jeff
;
Paye, Bradley S.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 119-128
Persistent link: https://www.econbiz.de/10009242531
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10
Empirical evidence on the importance of aggregation, asymmetry, and jumps for
volatility
prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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