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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Time-varying tail behavior for realized kernels

Opschoor, Anne; Lucas, André - 2019 - This version:July23,2019

We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...

Persistent link: https://www.econbiz.de/10012053572

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?

Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10015062448

Approximate confidence regions for minimax-linear estimators

Toutenburg, Helge; Flieger, A.; Schaffrin, Burkhard - In: Handbook of applied econometrics and statistical inference, (pp. 27-44). 2002

Persistent link: https://www.econbiz.de/10001701909

Scalable inference for a full multivariate stochastic volatility model

Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520

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Estimating models based on Markov jump processes given fragmented observation series

Hahn, Markus; Frühwirth-Schnatter, Sylvia; Sass, Jörn - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 403-425

Persistent link: https://www.econbiz.de/10003910570

Semiparametric sieve-type GLS inference in regressions with long-range dependence

Kapetanios, George (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428547