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Rolling-Sample Volatility Esti...
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Ghysels, Eric
339
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74
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20
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15
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14
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14
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1
Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 363-376
Persistent link: https://www.econbiz.de/10001695282
Saved in:
2
Detecting multiple breaks in financial market volatility dynamics
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 579-600
Persistent link: https://www.econbiz.de/10001709317
Saved in:
3
Forecasting with Mixed-Frequency Data
Andreou, Elena
;
Ghysels, Eric
;
Kourtellos, Andros
- In:
The Oxford handbook of economic forecasting
.
2012
Persistent link: https://www.econbiz.de/10012882025
Saved in:
4
Should macroeconomic forecasters use daily financial data and how?
Andreou, Elena
;
Ghysels, Eric
;
Kourtellos, Andros
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 240-251
Persistent link: https://www.econbiz.de/10009753968
Saved in:
5
Regression models with mixed sampling frequencies
Andreou, Elena
;
Ghysels, Eric
;
Kourtellos, Andros
- In:
Journal of econometrics
158
(
2010
)
2
,
pp. 246-261
Persistent link: https://www.econbiz.de/10008839957
Saved in:
6
Predicting the VIX and the volatility risk premium : what's credit and commodity volatility risk got to do with it? Elena Andreou and Eric Ghysels
Andreou, Elena
;
Ghysels, Eric
-
2014
Persistent link: https://www.econbiz.de/10010440191
Saved in:
7
Monitoring disruptions in financial markets
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 77-124
Persistent link: https://www.econbiz.de/10003376079
Saved in:
8
Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena
;
Ghysels, Eric
-
2006
Persistent link: https://www.econbiz.de/10003331375
Saved in:
9
Structural breaks in financial time series
Andreou, Elena
;
Ghysels, Eric
- In:
Handbook of financial time series
,
(pp. 839-870)
.
2009
Persistent link: https://www.econbiz.de/10003834237
Saved in:
10
Quality control for structural credit risk models
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 364-375
Persistent link: https://www.econbiz.de/10003783002
Saved in:
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