Q5879918 (Q5879918): Difference between revisions

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+Q5495335
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+Handbook of Financial Time Series
@@ Property / cites work: Handbook of Financial Time Series / 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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+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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+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
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Subsampling realised kernels
@@ Property / cites work: Subsampling realised kernels / rank @@
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+Handbook of Volatility Models and Their Applications
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+GMM estimation of a realized stochastic volatility model: A Monte Carlo study
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+Efficient Semiparametric Estimation of the Fama-French Model and Extensions
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+Empirical modeling of exchange rate dynamics
@@ Property / cites work: Empirical modeling of exchange rate dynamics / rank @@
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+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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+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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+Introduction to Bayesian Econometrics
@@ Property / cites work: Introduction to Bayesian Econometrics / rank @@
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+Matrix exponential stochastic volatility with cross leverage
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+A Test for Normality of Observations and Regression Residuals
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+Matrix exponential GARCH
@@ Property / cites work: Matrix exponential GARCH / rank @@
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+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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+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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+Block sampler and posterior mode estimation for asymmetric stochastic volatility models
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+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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+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
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+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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