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Decoding financial performance of US-listed entities : a sectoral exploration of input efficiency amid stochastic volatility

Andrews, Antony; Kumar, Nikeel Nishkar - In: Finance research letters 64 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014531748

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

Endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2018

Persistent link: https://www.econbiz.de/10011878268

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Consistent pseudo-maximum likelihood estimators and groups of transformations

Gouriéroux, Christian; Monfort, Alain; Zakoïan, … - 2018 - Revised version, June 2018

Persistent link: https://www.econbiz.de/10012201146

Efficient multipowers

Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 629-659

Persistent link: https://www.econbiz.de/10011988002

Improving the term structure of interest rates : two-factor models

Gómez-Valle, Lourdes; Martínez-Rodríguez, Julia - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 275-287

Persistent link: https://www.econbiz.de/10008702343

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Persistent link: https://www.econbiz.de/10001470372

On the relation between GARCH and stable processes

Vries, Casper G. de - 1990

Persistent link: https://www.econbiz.de/10000791413