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Disentangling continuous volatility from jumps in long-run risk-return relationships

Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583

Persistent link: https://www.econbiz.de/10010391947

The estimation for Lévy processes in high frequency data

Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066

Persistent link: https://www.econbiz.de/10012040536

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

Persistent link: https://www.econbiz.de/10001697768

A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices

Kumar, Dilip; Maheswaran, S. - In: Economic modelling 38 (2014), pp. 33-44

Persistent link: https://www.econbiz.de/10010418224

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738

Mixture periodic GARCH models : theory and applications

Hamdi, Fayçal; Souam, Saïd - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1925-1956

Persistent link: https://www.econbiz.de/10011950345

True or spurious long memory in European non-EMU currencies

Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230

Persistent link: https://www.econbiz.de/10011912762

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

Persistent link: https://www.econbiz.de/10011854876

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …

Persistent link: https://www.econbiz.de/10009626679