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Testing for extreme volatility transmission with realized volatility measures
Boucher, Christophe; Truchis, Gilles de; Dumitrescu, … - 2017
Persistent link: https://www.econbiz.de/10011738966
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Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities
Aloy, Marcel; Truchis, Gilles de - In: Computational economics 48 (2016) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10011646595
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Narrow-band weighted nonlinear least squares estimation of unbalanced cointegration systems
Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019
Persistent link: https://www.econbiz.de/10012241999
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Local Whittle analysis of stationary unbalanced fractional cointegration systems
Dubois, Florent; Dumitrescu, Elena-Ivona; Truchis, Gilles de - 2019 - Preliminary draft
Persistent link: https://www.econbiz.de/10012242004
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Assessing volatility persistence in fractional Heston models with self-exciting jumps
Truchis, Gilles de; Dumitrescu, Elena-Ivona - In: Econometric reviews 44 (2025) 3, pp. 275-311
Persistent link: https://www.econbiz.de/10015196602