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Drift-independent volatility estimation based on high, low, open, and close prices
Yang, Dennis; Zhang, Qiang - In: The journal of business : B 73 (2000) 3, pp. 477-491
Persistent link: https://www.econbiz.de/10001501942
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Special issue on high frequency data in finance
Baillie, Richard (contributor);  … - 1997
Persistent link: https://www.econbiz.de/10001505850
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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001531381
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Locally weighted autoregression
Feng, Yuanhua; Heiler, Siegfried - In: Institutional arrangements for global economic integration, (pp. 371-388). 2000
Persistent link: https://www.econbiz.de/10001533889
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High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.; Bollerslev, Tim - 1999
Persistent link: https://www.econbiz.de/10001433207
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Estimating stochastic volatility models through indirect inference
Monfardini, Chiara - In: The econometrics journal 1 (1998) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10001443684
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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Persistent link: https://www.econbiz.de/10001470372
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Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2000
Persistent link: https://www.econbiz.de/10001477772