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Handbook of financial time series

Andersen, Torben (ed.); Davis, Richard A. (ed.); … - 2009

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Über einige Modellklassen für kontinuierliche Zeitreihen und deren Anwendung in der Finanzmathematik

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Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

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Fourier series method for measurement of multivariate volatilities

Malliavin, Paul; Mancino, Maria Elvira - In: Finance and stochastics 6 (2002) 1, pp. 49-61

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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …