Narrow search
Showing 1 - 10 of 253
Cover Image
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Cover Image
High-frequency realized stochastic volatility model
Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
Cover Image
American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
Cover Image
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin; King, Maxwell L. - In: Journal of empirical finance 15 (2008) 3, pp. 549-566
Persistent link: https://www.econbiz.de/10003759632
Cover Image
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu - In: Journal of empirical finance 15 (2008) 2, pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Cover Image
Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
Cover Image
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015101647
Cover Image
Stochastic volatility : a tale of co-jumps, non-normality, GMM and high frequency data
Ewald, Christian; Zou, Yihan - In: Journal of empirical finance 64 (2021), pp. 37-52
Persistent link: https://www.econbiz.de/10013259396
Cover Image
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Cover Image
Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - In: Journal of empirical finance 81 (2025), pp. 1-20
Persistent link: https://www.econbiz.de/10015405342