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Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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Funding liquidity, market liquidity and TED spread : a two-regime model
Boudt, Kris; Paulus, Ellen C. S.; Rosenthal, Dale W. R. - In: Journal of empirical finance 43 (2017), pp. 143-158
Persistent link: https://www.econbiz.de/10011817948
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Central bank interventions and jumps in double long memory models of daily exchange rates
Beine, Michel; Laurent, Sébastien - In: Journal of empirical finance 10 (2003) 5, pp. 641-660
Persistent link: https://www.econbiz.de/10001806977
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Modelling daily value-at-risk using realized volatility and ARCH type models
Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398
Persistent link: https://www.econbiz.de/10002050367
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Trading activity, realized volatility and jumps
Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 168-175
Persistent link: https://www.econbiz.de/10003943976
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-368
Persistent link: https://www.econbiz.de/10008849033
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Tail index and quantile estimation with very high frequency data
Danielsson, J.; Vries, C.G.de - In: Journal of empirical finance 4 (1997) 2-3, pp. 241-258
Persistent link: https://www.econbiz.de/10007250564
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Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
Danielsson, Jon - In: Journal of empirical finance 5 (1998) 2, pp. 155
Persistent link: https://www.econbiz.de/10007248448
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Predicting issuer credit ratings using a semiparametric method
Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 120-138
Persistent link: https://www.econbiz.de/10008349675