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Refined inference on long memory in realized volatility
Lieberman, Offer; Phillips, Peter C. B. - In: Econometric reviews 27 (2008) 1/3, pp. 254-267
Persistent link: https://www.econbiz.de/10003761227
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Refined inference on long memory in realized volatility
Lieberman, Offer (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003468435
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A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
Chernov, Mikhail; Ghysels, Eric - In: Journal of financial economics 56 (2000) 3, pp. 407-458
Persistent link: https://www.econbiz.de/10001483311
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Stochastic volatility and time deformation : an application of trading volume and leverage effects
Ghysels, Eric; Jasiak, Joann - 1994
Persistent link: https://www.econbiz.de/10000898668
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1997
Persistent link: https://www.econbiz.de/10000980453
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Arbitrage-based pricing when volatility is stochastic
Bossaerts, Peter L.; Ghysels, Eric; Gouriéroux, Christian - 1996
Persistent link: https://www.econbiz.de/10000950450
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Trading patterns, time deformation and stochastic volatility in foreign exchange markets
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996
Persistent link: https://www.econbiz.de/10000952887
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Stochastic volatility
Ghysels, Eric - 1995
Persistent link: https://www.econbiz.de/10000929391
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Stochastic volatility
Ghysels, Eric - 1996
Persistent link: https://www.econbiz.de/10001320263
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10001769687