Q5879918 (Q5879918): Difference between revisions

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+MaRDI publication profile
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+Q5495335
@@ Property / cites work: Q5495335 / rank @@
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@@ Property / cites work @@
+Handbook of Financial Time Series
@@ Property / cites work: Handbook of Financial Time Series / rank @@
+Normal rank
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+A New Parametrization of Correlation Matrices
@@ Property / cites work: A New Parametrization of Correlation Matrices / rank @@
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+Multivariate stochastic volatility, leverage and news impact surfaces
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@@ Property / cites work @@
+Long memory and asymmetry for matrix-exponential dynamic correlation processes
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+Multivariate Stochastic Volatility: A Review
@@ Property / cites work: Multivariate Stochastic Volatility: A Review / rank @@
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@@ Property / cites work @@
+Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
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+Realized stochastic volatility with general asymmetry and long memory
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Subsampling realised kernels
@@ Property / cites work: Subsampling realised kernels / rank @@
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@@ Property / cites work @@
+Handbook of Volatility Models and Their Applications
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@@ Property / cites work @@
+GMM estimation of a realized stochastic volatility model: A Monte Carlo study
+Normal rank
@@ Property / cites work @@
+Efficient Semiparametric Estimation of the Fama-French Model and Extensions
+Normal rank
@@ Property / cites work @@
+Empirical modeling of exchange rate dynamics
@@ Property / cites work: Empirical modeling of exchange rate dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
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+A multiple indicators model for volatility using intra-daily data
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@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
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+Optimum thresholding using mean and conditional mean squared error
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@@ Property / cites work @@
+Introduction to Bayesian Econometrics
@@ Property / cites work: Introduction to Bayesian Econometrics / rank @@
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@@ Property / cites work @@
+Matrix exponential stochastic volatility with cross leverage
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@@ Property / cites work @@
+A Test for Normality of Observations and Regression Residuals
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@@ Property / cites work @@
+Matrix exponential GARCH
@@ Property / cites work: Matrix exponential GARCH / rank @@
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@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
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@@ Property / cites work @@
+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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@@ Property / cites work @@
+Block sampler and posterior mode estimation for asymmetric stochastic volatility models
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@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
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+Evaluating Volatility and Correlation Forecasts
@@ Property / cites work: Evaluating Volatility and Correlation Forecasts / rank @@
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@@ Property / cites work @@
+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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@@ Property / cites work @@
+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:5879918