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News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz; Yang, Xiye - In: Journal of financial econometrics 21 (2023) 5, pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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A quantile regression approach to estimate the variance of financial returns
Baur, Dirk G.; Dimpfl, Thomas - In: Journal of financial econometrics 17 (2019) 4, pp. 616-644
Persistent link: https://www.econbiz.de/10012152237
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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Dynamics of equity factor returns and asset pricing
Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201
Persistent link: https://www.econbiz.de/10012504326
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Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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A GMM skewness and kurtosis ratio test for higher moment dependence
Wong, Woon K. - In: Journal of financial econometrics 18 (2020) 2, pp. 307-332
Persistent link: https://www.econbiz.de/10012232960
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The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi; Stander, Julian - In: Journal of financial econometrics 18 (2020) 2, pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
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Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - In: Journal of financial econometrics 17 (2019) 4, pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
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Time variation in cash flows and discount rates
Cenesizoglu, Tolga; Ibrushi, Denada - In: Journal of financial econometrics 21 (2023) 5, pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702