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Reschenhofer, Erhard - In: Statistical papers 35 (1994) 4, pp. 309-322

Persistent link: https://www.econbiz.de/10001173329

Using intraday statistics for the estimation of the return variance

Reschenhofer, Erhard - In: Journal of finance and investment analysis 2 (2013) 2, pp. 1-13

This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

Persistent link: https://www.econbiz.de/10009746033

Forecasting volatility : double averaging and weighted medians

Reschenhofer, Erhard - In: International journal of computational economics and … 1 (2010) 3/4, pp. 317-326

Persistent link: https://www.econbiz.de/10008933196

Modeling exchange rates : long-run dependence versus conditional heteroscedasticity

Hauser, Michael A. - 1992

Persistent link: https://www.econbiz.de/10000874142

Measuring persistence in aggregate output : ARMA models, fractionally integrated ARMA models and nonparametric procedures

Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-269

Persistent link: https://www.econbiz.de/10001388897

Modelling exchange rates : long-run dependence versus conditional heteroscedasticity

Hauser, Michael A. - In: Applied financial economics 4 (1994) 3, pp. 233-239

Persistent link: https://www.econbiz.de/10001164930

Analysis of Austrian stocks : testing for stability and randomness

Kunst, Robert M. - In: Empirical economics : a journal of the Institute for … 16 (1991) 4, pp. 465-477

Persistent link: https://www.econbiz.de/10001116514

On Gagnon's criticism of ARMA models for real GNP growth

Hauser, Michael A. - In: Economic notes : economic review of Banca Monte dei … 23 (1994) 1, pp. 125-129

Persistent link: https://www.econbiz.de/10001165660

Analysis of economic growth : structural breaks, superrandomness, and nonlinear forecasting

Reschenhofer, Erhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 87 (2003) 4, pp. 383-404

Persistent link: https://www.econbiz.de/10001819800

Detecting synchronous cycles in financial time series of unequal length

Reschenhofer, Erhard; Lingler, Michaela - In: Journal of empirical finance 24 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10010371995