Works matching IS 14798409 AND DT 2021 AND VI 19 AND IP 4

Results: 7

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 614, doi. 10.1093/jjfinec/nbz025

By:

Buccheri, Giuseppe;
Corsi, Fulvio

Publication type:

Article

Nonparametric Dynamic Conditional Beta*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 583, doi. 10.1093/jjfinec/nbz024

By:

Maheu, John M;
Zamenjani, Azam Shamsi

Publication type:

Article

Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 746, doi. 10.1093/jjfinec/nbz017

By:

Gungor, Sermin;
Luger, Richard

Publication type:

Article

Fourth Moment Structure of Markov Switching Multivariate GARCH Models.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 565, doi. 10.1093/jjfinec/nbz020

By:

Cavicchioli, Maddalena

Publication type:

Article

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 531, doi. 10.1093/jjfinec/nbz018

By:

Catania, Leopoldo

Publication type:

Article

Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 707, doi. 10.1093/jjfinec/nbz010

By:

Casas, Isabel;
Ferreira, Eva;
Orbe, Susan

Publication type:

Article

Positional Portfolio Management*.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 4, p. 650, doi. 10.1093/jjfinec/nbz022

By:

Gagliardini, P;
Gourieroux, C;
Rubin, M

Publication type:

Article