Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 260, doi. 10.1093/jjfinec/nbz029
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2023 AND VI 21 AND IP 1
Results: 8
1
2
Comment on: Price Discovery in High Resolution, Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models, and Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models.Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 261, doi. 10.1093/jjfinec/nbz042
- Publication type:
- Article
3
Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 73, doi. 10.1093/jjfinec/nbab001
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- Publication type:
- Article
4
Option Prices and the Probability of Success of Cash Mergers.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 145, doi. 10.1093/jjfinec/nbaa048
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- Publication type:
- Article
5
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 187, doi. 10.1093/jjfinec/nbab009
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- Publication type:
- Article
6
Volatility Estimation and Forecasts Based on Price Durations.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 106, doi. 10.1093/jjfinec/nbab006
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- Publication type:
- Article
7
Improving Value-at-Risk Prediction Under Model Uncertainty.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 228, doi. 10.1093/jjfinec/nbaa022
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- Publication type:
- Article
8
Measuring Systemic Risk Using Multivariate Quantile-Located ES Models.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 1, doi. 10.1093/jjfinec/nbaa050
- By:
- Publication type:
- Article