Pages that link to "Item:Q292000"
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The following pages link to A multiple indicators model for volatility using intra-daily data (Q292000):
Displaying 50 items.
- rumidas (Q128847) (← links)
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Fitting a two phase threshold multiplicative error model (Q515143) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (Q737260) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Evaluating multiplicative error models: a residual-based approach (Q830601) (← links)
- Generalized ARMA models with martingale difference errors (Q888346) (← links)
- Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766) (← links)
- Intra-daily information of range-based volatility for MEM-GARCH (Q1025346) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
- Nonparametric kernel density estimation near the boundary (Q1623386) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Diagnostic checking of the vector multiplicative error model (Q1660140) (← links)
- Accounting for missing values in score-driven time-varying parameter models (Q1672734) (← links)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- High frequency-based quantile forecast and combination: an application to oil market (Q2086173) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Modeling returns volatility: realized GARCH incorporating realized risk measure (Q2150399) (← links)
- Dynamics of variance risk premia: a new model for disentangling the price of risk (Q2190227) (← links)
- Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- On classifying the effects of policy announcements on volatility (Q2237181) (← links)
- A minimum distance lack-of-fit test in a Markovian multiplicative error model (Q2241533) (← links)
- A Bayesian semiparametric vector multiplicative error model (Q2242023) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics (Q2322052) (← links)
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397) (← links)
- Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Financial clustering in presence of dominant markets (Q2418401) (← links)
- Automated variable selection in vector multiplicative error models (Q2445703) (← links)
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
- A constrained interval-valued linear regression model: a new heteroscedasticity estimation method (Q2661850) (← links)
- A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
- Realized BEKK-CAW models (Q2693372) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Capturing the Spillover Effect With Multiplicative Error Models (Q2794787) (← links)
- Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data (Q2815047) (← links)
- SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS (Q2986524) (← links)
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について (Q5011476) (← links)
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
- Generalized autoregressive moving average models with GARCH errors (Q5030955) (← links)
- Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation (Q5111852) (← links)
- Quantile Estimation of Regression Models with GARCH-X Errors (Q5155187) (← links)
- (Q5879918) (← links)
- A class of minimum distance estimators in Markovian multiplicative error models (Q6108880) (← links)
