Pages that link to "Item:Q2439047"

The following pages link to Temporal aggregation of volatility models (Q2439047):

Displaying 40 items.

• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Aggregation and memory of models of changing volatility (Q278251) (← links)
• Temporal aggregation of multivariate GARCH processes (Q290974) (← links)
• Monitoring disruptions in financial markets (Q291846) (← links)
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
• Supply chain forecasting: theory, practice, their gap and the future (Q322825) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• Aggregation and marginalization of GARCH processes: some further results (Q478343) (← links)
• Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
• Causality effects in return volatility measures with random times (Q737283) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Temporal aggregation of equity return time-series models (Q929677) (← links)
• GARCH and irregularly spaced data (Q1929030) (← links)
• The leverage effect puzzle revisited: identification in discrete time (Q2190223) (← links)
• Volatility regressions with fat tails (Q2227065) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models (Q2483447) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• The continuous-time limit of score-driven volatility models (Q2658765) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• Temporal aggregation of Markov-switching financial return models (Q3077477) (← links)
• Causality and forecasting in temporally aggregated multivariate GARCH processes (Q3566442) (← links)
• Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk (Q3574763) (← links)
• ARMA representation of integrated and realized variances (Q4458360) (← links)
• Some recent developments in stochastic volatility modelling (Q4646765) (← links)
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770) (← links)
• The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
• On the test of the volatility proxy model (Q5055216) (← links)
• The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) (← links)
• Contemporaneous aggregation of GARCH processes (Q5430498) (← links)
• Estimation of temporally aggregated multivariate GARCH models (Q5433115) (← links)
• Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? (Q5452760) (← links)
• Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106) (← links)
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)
• The continuous limit of weak GARCH (Q5861045) (← links)
• GARCH Model Estimation Using Estimated Quadratic Variation (Q5863577) (← links)
• On measuring volatility of diffusion processes with high frequency data (Q5958532) (← links)