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The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
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Realized volatility forecasting with neural networks
Bucci, Andrea - In: Journal of financial econometrics 18 (2020) 3, pp. 502-531
Persistent link: https://www.econbiz.de/10012316696
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News and idiosyncratic volatility : the public information processing hypothesis
Engle, Robert F.; Hansen, Martin Klint; Karagozoglu, … - In: Journal of financial econometrics 19 (2021) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012504316
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
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Comparing predictive accuracy under long memory, with an application to valatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - In: Journal of financial econometrics 17 (2019) 2, pp. 180-228
Persistent link: https://www.econbiz.de/10012054436
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Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
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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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Periodicity in cryptocurrency volatility and liquidity
Hansen, Peter Reinhard; Kim, Chan; Kimbrough, Wade - In: Journal of financial econometrics 22 (2024) 1, pp. 224-251
Persistent link: https://www.econbiz.de/10014526315
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Volatility forecasting with machine learning and intraday commonality
Zhang, Chao; Zhang, Yihuang; Cucuringu, Mihai; Qian, … - In: Journal of financial econometrics 22 (2024) 2, pp. 492-530
Persistent link: https://www.econbiz.de/10014526335