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Modellierung
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CREATES research paper
MPRA Paper
129
Journal of econometrics
125
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108
NBER working paper series
107
NBER Working Paper
92
IZA Discussion Papers
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ECONIS (ZBW)
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Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
2
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
3
Forecast combinations
Aiolfi, Marco
;
Capistrán Carmona, Carlos
;
Timmermann, Allan
-
2010
Persistent link: https://www.econbiz.de/10003968390
Saved in:
4
The properties of model selection when retain theory variables
Varneskov, Rasmus Tangsgaard
-
2011
Persistent link: https://www.econbiz.de/10009356170
Saved in:
5
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
6
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
7
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
8
Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso
;
Grassi, Stefano
-
2011
Persistent link: https://www.econbiz.de/10008841795
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9
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
10
Latent integrated stochastic volatility, realized volatility, and implied volatility : a state space approach
Bach, Christian
;
Christensen, Bent Jesper
-
2010
Persistent link: https://www.econbiz.de/10008857837
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