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- SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 2012-05-14 Paper Handbook of Volatility Models and Their Applications 2012-04-19 Paper Multivariate Time Series Models...10 bytes (19 words) - 15:35, 10 December 2023
- Andrew J. Patton (section Research outcomes over time)Data-based ranking of realised volatility estimators 2016-08-10 Paper Volatility forecast comparison using imperfect volatility proxies 2016-08-10 Paper High-dimensional...10 bytes (18 words) - 21:48, 9 December 2023
- with conditional volatility for high frequency air passenger arrivals 2016-06-22 Paper \(\ell_1\)-regularization of high-dimensional time-series models with...10 bytes (19 words) - 00:46, 9 December 2023
- Classes of time-dependent measures and the behavior of Feynman-Kac propagators 2003-09-09 Paper On the heat equation with a time-dependent singular potential...10 bytes (16 words) - 22:26, 9 December 2023
- Eric Ghysels (section Research outcomes over time)2021-02-09 Paper Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors 2021-02-04 Paper On the Size Distortion...10 bytes (16 words) - 22:05, 9 December 2023
- Bing-Yi Jing (section Research outcomes over time)the integrated self-weighted cross volatility estimator 2014-01-27 Paper On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with...10 bytes (17 words) - 04:52, 9 December 2023
- Jeong-Hoon Kim (section Research outcomes over time)fractional stochastic volatility model 2023-10-02 Paper Valuation of barrier and lookback options under hybrid CEV and stochastic volatility 2023-06-28 Paper...10 bytes (18 words) - 11:27, 11 December 2023
- Piotr S. Kokoszka (section Research outcomes over time)functional time series 2018-10-30 Paper Testing Separability of Functional Time Series 2018-09-28 Paper Extremes of projections of functional time series on...10 bytes (18 words) - 12:19, 28 January 2024
- Jun Yu (section Research outcomes over time)for explosive behavior with strongly dependent errors 2024-02-13 Paper Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck...10 bytes (18 words) - 01:29, 10 December 2023
- Mikko S. Pakkanen (section Research outcomes over time)prevalence under a time-varying general branching process 2023-08-07 Paper A GMM approach to estimate the roughness of stochastic volatility 2023-06-29 Paper...10 bytes (19 words) - 14:21, 10 December 2023
- Fima C. Klebaner (section Research outcomes over time)applications to population-size-dependent models with dependent offspring 1986-01-01 Paper A limit theorem for population-size-dependent branching processes 1985-01-01...10 bytes (19 words) - 00:16, 10 December 2023
- Neil Shephard (section Research outcomes over time)forecasting for continuous-time integer-valued trawl processes 2023-09-28 Paper Simulation‐based likelihood inference for limited dependent processes 2023-07-07...10 bytes (16 words) - 03:18, 10 December 2023
- Rohit S. Deo (section Research outcomes over time)self-normalization 2018-06-20 Paper Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment...10 bytes (18 words) - 02:16, 10 December 2023
- Qiang Zhang (section Research outcomes over time)Paper Option prices under stochastic volatility 2012-11-15 Paper Change-point detection for long-range dependent sequences in a general setting 2012-06-09...10 bytes (18 words) - 03:58, 10 December 2023
- Jim E. Griffin (section Research outcomes over time)Returns for Realized Variance Calculations: Tick Time or Transaction Time? 2008-11-19 Paper Order-Based Dependent Dirichlet Processes 2007-08-20 Paper...10 bytes (19 words) - 03:01, 10 December 2023
- Mohsen Rezapour (section Research outcomes over time)heterogeneous dependent components 2014-07-24 Paper Stochastic volatility models with possible extremal clustering 2014-02-04 Paper On properties of dependent progressively...10 bytes (17 words) - 16:15, 11 December 2023
- Song-Ping Zhu (section Research outcomes over time)Heston's stochastic volatility model 2020-10-05 Paper A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic...10 bytes (18 words) - 21:33, 9 December 2023
- Richard A. Davis (section Research outcomes over time)1993-01-23 Paper TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES 1993-01-16 Paper Time series: theory and...10 bytes (19 words) - 20:59, 9 December 2023
- Naâmane Laïb (section Research outcomes over time)Type Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations 2023-03-10 Paper...10 bytes (16 words) - 22:15, 11 December 2023
- Rafał Kulik (section Research outcomes over time)Long‐Memory Stochastic Volatility Time Series 2019-10-18 Paper The tail empirical process for long memory stochastic volatility models with leverage 2019-10-04...10 bytes (16 words) - 17:03, 11 December 2023
