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Risk, return, and volatility feedback : a Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10010365633

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10012264979

Inflation and the distribution of price changes

Bryan, Michael F.; Cecchetti, Stephen G. - 1996

Persistent link: https://www.econbiz.de/10000609279

Interpreting the correlation between inflation and the skewness of relative prices : a comment on Bryan and Cecchetti

Ball, Laurence M.; Mankiw, Nicholas Gregory - In: The review of economics and statistics 81 (1999) 2, pp. 197-198

Persistent link: https://www.econbiz.de/10001396542

Cross-sectional inflation asymmetries and core inflation : a comment on Bryan and Cecchetti

Verbrugge, Randal - In: The review of economics and statistics 81 (1999) 2, pp. 199-202

Persistent link: https://www.econbiz.de/10001396544