Similar Search Results

Détection non paramétrique de sauts dans la volatilité des marchés financiers

Perron, Benoit - In: L' Actualité économique : revue trimest. 80 (2004) 2/3, pp. 229-251

Persistent link: https://www.econbiz.de/10003086172

Jumps in the volatility of financial markets

Perron, Benoit - 1999

Persistent link: https://www.econbiz.de/10001504842

Long memory and the relation between implied and realized volatility

Bandi, Federico M.; Perron, Benoit - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 636-670

Persistent link: https://www.econbiz.de/10003565756

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

Kalnina, Ilze; Linton, Oliver - In: Journal of econometrics 147 (2008) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10003783783

The common and specific components of dynamic volatility

Connor, Gregory; Korajczyk, Robert A.; Linton, Oliver - In: Journal of econometrics 132 (2006) 1, pp. 231-255

Persistent link: https://www.econbiz.de/10003320262

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha; Linton, Oliver - 2009

Persistent link: https://www.econbiz.de/10003971927

Efficient estimation of a multivariate multiplicative volatility model

Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73

Persistent link: https://www.econbiz.de/10008839940

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha (contributor); Linton, Oliver (contributor) - 2007

Persistent link: https://www.econbiz.de/10003616363

Let's get lade : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - In: Econometric theory 31 (2015) 4, pp. 671-702

Persistent link: https://www.econbiz.de/10011341932

Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

Persistent link: https://www.econbiz.de/10009719116