Narrow search
Showing 1 - 5 of 5
Cover Image
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per; Nielsen, Morten Ørregaard - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
Cover Image
Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
Cover Image
Why do absolute returns predict volatility so well?
Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10003518282
Cover Image
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Cover Image
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