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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
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Real-Time GARCH
Smetanina, Ekaterina - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
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Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
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Can volatility models explain extreme events?
Trapin, Luca - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
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Downside variance risk premium
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226
Persistent link: https://www.econbiz.de/10011588557