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1also available:Exemplare Uni Bonn from 1973
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2also available:Exemplare Uni Bonn from 1986
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3also available:Exemplare Uni Bonn from 1998
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5by Corsi, Fulvio Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 2, 174196 abstract The paper proposes an additive cascade model of volatility components dened...”
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7by Chollete, Lorán Heinen, Andréas Valdesogo, Alfonso Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 437480 Lorn Chollete Norwegian School of Economics and Business Administration (NHH) Andras Heinen...”
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8by Brownlees, Christian T Gallo, Giampiero M Published in Journal of financial econometrics (20100000)“...In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility,...”
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9by Silvennoinen, Annastiina Teräsvirta, Timo Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 373411 abstract In this paper, we propose a multivariate GARCH model with a time-varying conditional...”
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10by Brownlees, Christian T Cipollini, Fabrizio Gallo, Giampiero M Published in Journal of financial econometrics (20110000)“...The explosion of algorithmic trading has been one of the most pro-minent recent trends in the financial industry. Algorithmic trading consists of automated...”
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11by Taylor, James W Published in Journal of financial econometrics (20080000)“...Journal of Financial Econometrics, 2008, Vol. 6, No. 3, 382406 abstract We propose exponentially weighted quantile regression (EWQR) for estimating time...”
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12by Stentoft, Lars Published in Journal of financial econometrics (20080000)“...Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 540582 abstract In this paper we propose a feasible way to price American options in a model with time...”
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13by Collin-Dufresne, Pierre Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 1229 abstract This short note gives a short overview of correlation markets and was prepared...”
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14“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 412436 Simon A. Broda Department of Quantitative Economics, University of Amsterdam Marc S. Paolella...”
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15by Tay, Anthony Ting, Christopher Tse, Yiu Kuen Warachka, Mitch Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 3, 288311 abstract This paper applies the asymmetric autoregressive conditional duration (AACD) model...”
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16“...Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by...”
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17by Hahn, Markus Frühwirth-Schnatter, Sylvia Sass, Jörn Published in Journal of financial econometrics (20100000)“... 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...”
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18Published in US Official News (24.04.2019)Why is this result displayed? Your search term was found in indexed contents.
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19by Embrechts, Paul Published in Journal of financial econometrics (20090000)“...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 3039 Paul Embrechts Department of Mathematics and RiskLab ETH Zurich, Switzerland abstract Due...”
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20by Xu, Dinghai Knight, John Wirjanto, Tony S Published in Journal of financial econometrics (20110000)“...This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal...”