Volatility Prediction Using a Realized-Measure-Based Component Model*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 76, doi. 10.1093/jjfinec/nbz041
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2022 AND VI 20 AND IP 1
Results: 8
1
2
Model and Moment Selection in Factor Copula Models*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 45, doi. 10.1093/jjfinec/nbz039
- By:
- Publication type:
- Article
3
On Frequent Batch Auctions for Stocks*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 1, doi. 10.1093/jjfinec/nbz038
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- Publication type:
- Article
4
Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 18, doi. 10.1093/jjfinec/nbz032
- By:
- Publication type:
- Article
5
Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation.
- Published in:
- 2022
- By:
- Publication type:
- Literature Review
6
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 160, doi. 10.1093/jjfinec/nbaa005
- By:
- Publication type:
- Article
7
Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models*.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 139, doi. 10.1093/jjfinec/nbaa004
- By:
- Publication type:
- Article
8
Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting.
- Published in:
- Journal of Financial Econometrics, 2022, v. 20, n. 1, p. 105, doi. 10.1093/jjfinec/nbaa002
- By:
- Publication type:
- Article