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Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
Awartani, Basel; Corradi, Valentina; Distaso, Walter - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10008248858
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Macroeconomic determinants of stock volatility and volatility premiums
Corradi, Valentina; Distaso, Walter; Mele, Antonio - In: Journal of monetary economics 60 (2013) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10010098203
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10008253332
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Predictive Inference for Integrated Volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R - In: Journal of the American Statistical Association : JASA 106 (2011) 496, pp. 1496-1513
Persistent link: https://www.econbiz.de/10009840356
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International market links and volatility transmission
Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo - In: Journal of econometrics 170 (2012) 1, pp. 117-142
Persistent link: https://www.econbiz.de/10009996207
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-139
Persistent link: https://www.econbiz.de/10008890764
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Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
Corradi, Valentina; Distaso, Walter - In: The review of economic studies 73 (2006) 3, pp. 635-668
Persistent link: https://www.econbiz.de/10007632098
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Financial integration of GCC banking markets: A non-parametric bootstrap DEA estimation approach
Maghyereh, Aktham I.; Awartani, Basel - In: Research in international business and finance 26 (2012) 2, pp. 181-196
Persistent link: https://www.econbiz.de/10009840733
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Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Awartani, Basel; Maghyereh, Aktham Issa - In: Energy economics 36 (2013), pp. 28-42
Persistent link: https://www.econbiz.de/10010083739
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Modeling and forecasting value-at-risk in the UAE stock markets : the role of long memory, fat tails and asymmetries in return innovations
Maghyereh, Aktham Issa; Awartani, Basel - In: Review of Middle East economics and finance 8 (2012) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010039684