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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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Monitoring disruptions in financial markets
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 135 (2006) 1/2, pp. 77-124
Persistent link: https://www.econbiz.de/10003376079
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Nonparametric specification tests for stochastic volatility models based on volatility density
Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10011499459
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Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779