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Volatility comovement: a multifrequency approach
Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1, pp. 179-216
Persistent link: https://www.econbiz.de/10006747794
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Forecasting multifractal volatility
Calvet, Laurent E.; Fisher, Adlai - In: Journal of econometrics 105 (2001) 1, pp. 27-58
Persistent link: https://www.econbiz.de/10001617142
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Volatility comovement: a multifrequency approach
Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215
Persistent link: https://www.econbiz.de/10003298573
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779