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Estimation of an asymmetric stochastic volatility model for asset returns

Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434

Persistent link: https://www.econbiz.de/10001209347

Volatility Scaling's Impact on the Sharpe Ratio

Hoyle, Edward - 2018

We study the econometric properties of dynamic risk parity, which volatility scales to equalise risk through time using the precision process, the inverse of the time-varying volatility. A particular focus is on the impact of the Sharpe ratio. We give necessary and suffcient conditions that...

Persistent link: https://www.econbiz.de/10012908418

Realising the future : forecasting with high-frequency-based volatility (heavy) models

Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231

Persistent link: https://www.econbiz.de/10008667609

Realized volatility

Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1

Persistent link: https://www.econbiz.de/10009242567

Multivariate high-frequency-based volatility (heavy) models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933

Persistent link: https://www.econbiz.de/10010219743

Multivariate high-frequency-based volatility (HEAVY) models

Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011

Persistent link: https://www.econbiz.de/10008842201

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil G.; Sheppard, Kevin - 2009

Persistent link: https://www.econbiz.de/10003875073

Realising the future: forecasting with high frequency based volatility (HEAVY) models

Shephard, Neil G.; Sheppard, Kevin - 2009

Persistent link: https://www.econbiz.de/10003875108

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

The distribution of stock return volatility

Andersen, Torben (contributor) - 2000

Persistent link: https://www.econbiz.de/10001519326

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