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An empirical model of network formation : detecting homophily when agents are heterogenous
Graham, Bryan S.
-
2014
Persistent link: https://www.econbiz.de/10010394516
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2
Maximum likelihood estimation of latent affine processes
Bates, David S.
-
2003
Persistent link: https://www.econbiz.de/10001758410
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3
The distribution of stock return volatility
Andersen, Torben
(
contributor
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2000
Persistent link: https://www.econbiz.de/10001519326
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4
Modeling and forecasting realized volatility
Andersen, Torben
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2001
Persistent link: https://www.econbiz.de/10001561837
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
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2000
Persistent link: https://www.econbiz.de/10001440693
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6
Long-term memory in stock market prices
Lo, Andrew W.
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1989
Persistent link: https://www.econbiz.de/10000767657
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7
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
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8
Risk, mispricing, and asset allocation : conditioning on dividend yield
Shanken, Jay
;
Tamayo, Ane
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2001
Persistent link: https://www.econbiz.de/10001632875
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On the relationship between the conditional mean and volatility of stock returns : a latent VAR approach
Brandt, Michael W.
;
Kang, Qiang
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2002
Persistent link: https://www.econbiz.de/10001683143
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Multifrequency news and stock returns
Calvet, Laurent E.
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Fisher, Adlai J.
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2005
Persistent link: https://www.econbiz.de/10002978255
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