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Modeling of Stochastic Volatility to Validate IDR Anchor Currency.
- Published in:
- Gadjah Mada International Journal of Business, 2018, v. 20, n. 2, p. 165, doi. 10.22146/gamaijb.26006
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- Article
The Volatility--Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets.
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- Gadjah Mada International Journal of Business, 2017, v. 19, n. 2, p. 167, doi. 10.22146/gamaijb.26260
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- Article
The Green Shoe Option's Effectiveness at Stabilizing the IPO'S Stock Price on the Indonesian Stock Exchange (2000-2013).
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- Gadjah Mada International Journal of Business, 2016, v. 18, n. 1, p. 71, doi. 10.22146/gamaijb.9292
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- Article
BEHAVIOR OF STOCK PRICE VARIABILITY OVER TRADING AND NONTRADING PERIODS, AND DAILY RETURN VOLATILITY.
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- Gadjah Mada International Journal of Business, 2007, v. 9, n. 3, p. 409, doi. 10.22146/gamaijb.5590
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- Publication type:
- Article
TIME-VARYING BETA AND VOLATILITY IN THE KUALA LUMPER STOCK EXCHANGE.
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- Gadjah Mada International Journal of Business, 2004, v. 6, n. 1, p. 117, doi. 10.22146/gamaijb.5537
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- Publication type:
- Article
OPTIMAL STATISTICAL ARBITRAGE: A MODEL SPECIFICATION ANALYSIS ON ISEQ EQUITY DATA.
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- Irish Accounting Review, 2010, v. 17, n. 2, p. 21, doi. 10.52399/001c.27006
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- Article
VOLUME AND GARCH EFFECTS FOR DUAL-LISTED EQUITIES: EVIDENCE FROM IRISH EQUITIES.
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- Irish Accounting Review, 2005, v. 12, n. 1, p. 63, doi. 10.52399/001c.34156
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- Publication type:
- Article
Correction to: Optimal Monetary Policy and Financial Stability in a Non-Ricardian Economy.
- Published in:
- Journal of the European Economic Association, 2024, v. 22, n. 4, p. e2, doi. 10.1093/jeea/jvaa057
- Publication type:
- Article
INSTITUTIONS, VOLATILITY, AND INVESTMENT.
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- Journal of the European Economic Association, 2018, v. 16, n. 3, p. 604, doi. 10.1093/jeea/jvx030
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- Article
Volatility Forecasting with Machine Learning and Intraday Commonality.
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- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 492, doi. 10.1093/jjfinec/nbad005
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- Publication type:
- Article
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility.
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- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 531, doi. 10.1093/jjfinec/nbad006
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- Publication type:
- Article
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices.
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- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1590, doi. 10.1093/jjfinec/nbac017
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- Publication type:
- Article
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options.
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- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 375, doi. 10.1093/jjfinec/nbad001
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- Publication type:
- Article
Realized GARCH, CBOE VIX, and the Volatility Risk Premium.
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- Journal of Financial Econometrics, 2024, v. 22, n. 1, p. 187, doi. 10.1093/jjfinec/nbac033
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- Publication type:
- Article
A Joint Model for the Term Structure of Interest Rates and Realized Volatility.
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- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1196, doi. 10.1093/jjfinec/nbac001
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- Publication type:
- Article
Empirical Asset Pricing with Functional Factors.
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- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1258, doi. 10.1093/jjfinec/nbac003
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- Publication type:
- Article
Intraday Market Predictability: A Machine Learning Approach.
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- Journal of Financial Econometrics, 2023, v. 21, n. 2, p. 485, doi. 10.1093/jjfinec/nbab007
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- Publication type:
- Article
Forecasting VIX Using Filtered Historical Simulation.
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- Journal of Financial Econometrics, 2022, v. 20, n. 4, p. 655, doi. 10.1093/jjfinec/nbaa041
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- Publication type:
- Article
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*.
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- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 160, doi. 10.1093/jjfinec/nbaa005
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- Publication type:
- Article
Comparing Predictive Accuracy under Long Memory, With an Application to Volatility Forecasting.
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- Journal of Financial Econometrics, 2019, v. 17, n. 2, p. 180, doi. 10.1093/jjfinec/nby011
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- Publication type:
- Article
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.
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- Journal of Financial Econometrics, 2018, v. 16, n. 3, p. 384, doi. 10.1093/jjfinec/nby010
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- Publication type:
- Article
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model.
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- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 1, doi. 10.1093/jjfinec/nby007
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- Publication type:
- Article
Factor High-Frequency-Based Volatility (HEAVY) Models.
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- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 33, doi. 10.1093/jjfinec/nby028
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- Publication type:
- Article
Fractional Integration and Fat Tails for Realized Covariance Kernels.
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- Journal of Financial Econometrics, 2019, v. 17, n. 1, p. 66, doi. 10.1093/jjfinec/nby029
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- Publication type:
- Article
Fractionally Integrated COGARCH Processes.
- Published in:
- Journal of Financial Econometrics, 2018, v. 16, n. 4, p. 599, doi. 10.1093/jjfinec/nby020
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- Publication type:
- Article
Efficient Multipowers.
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- Journal of Financial Econometrics, 2018, v. 16, n. 4, p. 629, doi. 10.1093/jjfinec/nbx018
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- Publication type:
- Article
A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases.
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- Journal of Financial Econometrics, 2018, v. 16, n. 3, p. 425, doi. 10.1093/jjfinec/nbx030
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- Publication type:
- Article
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.
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- Journal of Financial Econometrics, 2018, v. 16, n. 2, p. 271, doi. 10.1093/jjfinec/nby001
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- Publication type:
- Article
Can Volatility Models Explain Extreme Events?
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- Journal of Financial Econometrics, 2018, v. 16, n. 2, p. 297, doi. 10.1093/jjfinec/nbx031
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- Publication type:
- Article
Real-Time GARCH.
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- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 561, doi. 10.1093/jjfinec/nbx008
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- Publication type:
- Article
Structural Volatility Impulse Response Function and Asymptotic Inference.
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- Journal of Financial Econometrics, 2018, v. 16, n. 2, p. 316, doi. 10.1093/jjfinec/nbx029
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- Publication type:
- Article
Quantile Regression for Long Memory Testing: A Case of Realized Volatility.
- Published in:
- 2016
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- Publication type:
- Case Study
Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits.
- Published in:
- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 602, doi. 10.1093/jjfinec/nbx022
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- Publication type:
- Article
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.
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- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 649, doi. 10.1093/jjfinec/nbx019
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- Publication type:
- Article
Forecasting Stock Returns Using Option-Implied State Prices.
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- Journal of Financial Econometrics, 2017, v. 15, n. 3, p. 427, doi. 10.1093/jjfinec/nbx009
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- Publication type:
- Article
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.
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- Journal of Financial Econometrics, 2017, v. 15, n. 3, p. 388, doi. 10.1093/jjfinec/nbx003
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- Publication type:
- Article
Simple Robust Hedging with Nearby Contracts.
- Published in:
- Journal of Financial Econometrics, 2016, v. 15, n. 1, p. 1, doi. 10.1093/jjfinec/nbw007
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- Publication type:
- Article
Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances.
- Published in:
- Journal of Financial Econometrics, 2016, v. 15, n. 1, p. 106, doi. 10.1093/jjfinec/nbv020
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- Publication type:
- Article
High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers.
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- Journal of Financial Econometrics, 2016, v. 15, n. 1, p. 62, doi. 10.1093/jjfinec/nbv023
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- Publication type:
- Article
Overnight News and Daily Equity Trading Risk Limits.
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- Journal of Financial Econometrics, 2016, v. 14, n. 3, p. 525, doi. 10.1093/jjfinec/nbu032
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- Publication type:
- Article
Forecasting Covariance Matrices: A Mixed Approach.
- Published in:
- Journal of Financial Econometrics, 2016, v. 14, n. 2, p. 383, doi. 10.1093/jjfinec/nbu031
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- Publication type:
- Article
Term Structure Persistence.
- Published in:
- Journal of Financial Econometrics, 2016, v. 14, n. 2, p. 331, doi. 10.1093/jjfinec/nbv003
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- Publication type:
- Article
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014.
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- Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 81, doi. 10.1093/jjfinec/nbv021
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- Publication type:
- Article
Volatility Jumps and Their Economic Determinants.
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- Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 29, doi. 10.1093/jjfinec/nbu028
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- Publication type:
- Article
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.
- Published in:
- Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 185, doi. 10.1093/jjfinec/nbu029
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- Publication type:
- Article
Long Memory and Periodicity in Intraday Volatility.
- Published in:
- Journal of Financial Econometrics, 2015, v. 40, n. 4, p. 922, doi. 10.1093/jjfinec/nbu006
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- Publication type:
- Article
Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates.
- Published in:
- Journal of Financial Econometrics, 2015, v. 13, n. 4, p. 839, doi. 10.1093/jjfinec/nbu018
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- Publication type:
- Article
The HESSIAN Method for Models with Leverage-like Effects.
- Published in:
- Journal of Financial Econometrics, 2015, v. 13, n. 3, p. 722, doi. 10.1093/jjfinec/nbt027
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- Publication type:
- Article
Long Memory and Periodicity in Intraday Volatility.
- Published in:
- Journal of Financial Econometrics, 2015, v. 13, n. 4, p. 922, doi. 10.1093/jjfinec/nbu006
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- Publication type:
- Article
Adaptive Realized Kernels.
- Published in:
- Journal of Financial Econometrics, 2015, v. 13, n. 4, p. 757, doi. 10.1093/jjfinec/nbu015
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- Publication type:
- Article