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Exponential GARCH modeling wit...
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Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
Saved in:
2
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
3
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
4
A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001566773
Saved in:
5
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2006
Persistent link: https://www.econbiz.de/10003334801
Saved in:
6
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2006
Persistent link: https://www.econbiz.de/10003341258
Saved in:
7
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2006
Persistent link: https://www.econbiz.de/10003367588
Saved in:
8
Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Econometrica : journal of the Econometric Society, an …
76
(
2008
)
6
,
pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
Saved in:
9
A realized variance for the whole day based on intermittent high-frequency data
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 525-554
Persistent link: https://www.econbiz.de/10003154305
Saved in:
10
A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of applied econometrics
20
(
2005
)
7
,
pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
Saved in:
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