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Univariate and multivariate stochastic volatility models : estimation and diagnostics
Liesenfeld, Roman; Richard, Jean-François - In: Journal of empirical finance 10 (2003) 4, pp. 505-531
Persistent link: https://www.econbiz.de/10001782293
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Univariate and multivariate stochastic volatility models: estimation and diagnostics
Liesenfeld, Roman; Richard, Jean-François - In: Journal of empirical finance 10 (2003) 4, pp. 505
Persistent link: https://www.econbiz.de/10007232875
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Stock return autocorrelations revisited: A quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert C. - In: Journal of empirical finance 19 (2012) 2, pp. 254-266
Persistent link: https://www.econbiz.de/10009838597
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Stock return autocorrelations revisited : a quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265
Persistent link: https://www.econbiz.de/10009615707
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Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012175249