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Volatility
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Kokoszka, Piotr
6
Horváth, Lajos
5
Zhao, Yuqian
3
Barassi, Marco R.
2
Miao, Hong
2
Francq, Christian
1
Gabrys, Robertas
1
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Jach, Agnieszka
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
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2
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Sample and implied volatility in GARCH models
Horváth, Lajos
;
Kokoszka, Piotr
;
Zitikis, Ričardas
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 617-635
Persistent link: https://www.econbiz.de/10003565751
Saved in:
2
Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014495589
Saved in:
3
Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
Jach, Agnieszka
;
Kokoszka, Piotr
- In:
Computational Statistics
25
(
2010
)
1
,
pp. 163-182
Persistent link: https://www.econbiz.de/10008596094
Saved in:
4
Predictability of shapes of intraday price curves
Kokoszka, Piotr
;
Reimherr, Matthew
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 285-308
Persistent link: https://www.econbiz.de/10010253641
Saved in:
5
Monitoring the intraday volatility pattern
Gabrys, Robertas
;
Hörmann, Siegfried
;
Kokoszka, Piotr
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 87-116
Persistent link: https://www.econbiz.de/10010225463
Saved in:
6
Functional dynamic factor model for intraday price curves
Kokoszka, Piotr
;
Miao, Hong
;
Zhang, Xi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 456-477
Persistent link: https://www.econbiz.de/10011339294
Saved in:
7
Risk analysis of cumulative intraday return curves
Kokoszka, Piotr
;
Miao, Hong
;
Stoev, Stilian
;
Zheng, Ben
- In:
Journal of time series econometrics
11
(
2019
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012022894
Saved in:
8
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
9
Breaks in term structures : evidence from the oil futures markets
Horváth, Lajos
;
Liu, Zhenya
;
Miller, Curtis
;
Tang, Weiqing
- In:
International journal of finance & economics : IJFE
29
(
2024
)
2
,
pp. 2317-2341
Persistent link: https://www.econbiz.de/10014533420
Saved in:
10
Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
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