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CAPM with fuzzy returns and hypothesis testing
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Shapiro, A. F.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 40-57
Persistent link: https://www.econbiz.de/10010366209
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Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Nolte, Ingmar - 2011
dependence between the price and noise processes provides an often missing link to market microstructure theory. We find …
Persistent link: https://www.econbiz.de/10013134748
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The Nonlinear Iterative Least Squares (NL-ILS) Estimator : An Application to Volatility Models
Fruet Dias, Gustavo - 2018
The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...
Persistent link: https://www.econbiz.de/10012928873
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Least squares infernce on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar; Voev, Valeri - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 1, pp. 94-108
Persistent link: https://www.econbiz.de/10009558954
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Long memory and volatility behaviour in Paris option market
Souissi, Nessim; Aloulou, Abderrahmen - In: International journal of bonds and derivatives 1 (2015) 4, pp. 273-283
Persistent link: https://www.econbiz.de/10011546734
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Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Chesneau, Christophe; El Kolei, Salima; Navarro, Fabien - 2017
Persistent link: https://www.econbiz.de/10012200019
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Predictable dynamics in the implied volatility surface based on weighted least squares : evidence from soybean meal futures options in China
Sui, Cong; Lung, Peter P.; Yang, Mo - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2625-2638
Persistent link: https://www.econbiz.de/10012262896
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Intraday forecasts of a volatility index : functional time series methods with dynamic updating
Shang, Han Lin; Yang, Yang; Kearney, Fearghal - In: Application of operations research to financial markets, (pp. 331-354). 2019
Persistent link: https://www.econbiz.de/10012160005
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Macroeconomic uncertainty and vector autoregressions
Forni, Mario; Gambetti, Luca; Sala, Luca - 2021
Persistent link: https://www.econbiz.de/10012417673