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GMM estimation of a stochastic volatility model : a Monte Carlo study

Andersen, Torben - 1995

Persistent link: https://www.econbiz.de/10000932332

Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study

Andersen, Torben; Chung, Hyung-Jin; Sørensen, Bent E. - In: Journal of econometrics 91 (1999) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10001382157

GMM estimation of a stochastic volatility model : a Monte Carlo study

Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 328-352

Persistent link: https://www.econbiz.de/10001334392

Power and bipower variation with stochastic volatility and jumps : discussion

Andersen, Torben; Shephard, Neil G. - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 37-48

Persistent link: https://www.econbiz.de/10002575826

A continuous-time arbitrage-pricing model with stochastic volatility and jumps

Ho, Mun - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 31-43

Persistent link: https://www.econbiz.de/10001203183

Deep financial integration and volatility

Kalemli-Ozcan, Sebnem; Sørensen, Bent E.; Volosovych, Vadym - 2010

Persistent link: https://www.econbiz.de/10003964052

Deep financial integration and volatility

Kalemli-Ozcan, Sebnem; Sørensen, Bent E.; Volosovych, Vadym - 2010

Persistent link: https://www.econbiz.de/10003969529

Deep financial integration and volatility

Kalemli-Ozcan, Sebnem; Sørensen, Bent E.; Volosovych, Vadym - 2010 - rev.

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset (AMADEUS) from 16 European countries, we construct a measure of "deep" financial integration at the regional level based on observations of foreign...

Persistent link: https://www.econbiz.de/10008669973

Deep Financial Integration and Volatility

Kalemli-Ozcan, Sebnem - 2010

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset from EU countries over time, we construct a measure of "deep" financial integration at the regional level based on foreign ownership at the firm...

Persistent link: https://www.econbiz.de/10013144963

Deep financial integration and volatility

Kalemli-Ozcan, Sebnem; Sørensen, Bent E.; Volosovych, Vadym - In: Journal of the European Economic Association 12 (2014) 6, pp. 1558-1585

Persistent link: https://www.econbiz.de/10010499683