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Works matching IS 14798409 AND DT 2012 AND VI 10 AND IP 2

Results: 6

1

Common Intraday Periodicity.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 325, doi. 10.1093/jjfinec/nbr012

By:

Hecq, Alain;
Laurent, Sébastien;
Palm, Franz C.

Publication type:

Article

2

Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 354, doi. 10.1093/jjfinec/nbr013

By:

Bos, Charles S.;
Janus, Paweł;
Koopman, Siem Jan

Publication type:

Article

3

Converting Tail-VaR to VaR: An Econometric Study.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 233, doi. 10.1093/jjfinec/nbs001

By:

Gourieroux, Christian;
Liu, Wei;
Liu, Gourieroux

Publication type:

Article

4

Weighted Nadaraya–Watson Estimation of Conditional Expected Shortfall.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 265, doi. 10.1093/jjfinec/nbs002

By:

Kato, Kengo

Publication type:

Article

5

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 292, doi. 10.1093/jjfinec/nbr011

By:

Feldhütter, Peter;
Nielsen, Mads Stenbo

Publication type:

Article

6

Modeling Trade Direction.

Published in:

Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 390, doi. 10.1093/jjfinec/nbr014

By:

Rosenthal, Dale W. R.

Publication type:

Article