“...Journal of Financial Econometrics, 2009, Vol. 7, No. 2, 174196 abstract The paper proposes an additive cascade model of volatility components dened...”

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 437480 Lorn Chollete Norwegian School of Economics and Business Administration (NHH) Andras Heinen...”

“...In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility,...”

“...The explosion of algorithmic trading has been one of the most pro-minent recent trends in the financial industry. Algorithmic trading consists of automated...”

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 412436 Simon A. Broda Department of Quantitative Economics, University of Amsterdam Marc S. Paolella...”

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 1229 abstract This short note gives a short overview of correlation markets and was prepared...”

“... with a common state process. For the econometric estimation of the states for drift and volatility and the rate matrix of the underlying Markov chain, we develop both an exact continuous time and an approximate discrete-time...”