Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1376, doi. 10.1093/jjfinec/nbac007
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2023 AND VI 21 AND IP 4
Results: 12
1
2
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1346, doi. 10.1093/jjfinec/nbac006
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- Publication type:
- Article
3
Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1308, doi. 10.1093/jjfinec/nbac005
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- Publication type:
- Article
4
Time-Transformed Test for Bubbles under Non-stationary Volatility.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1282, doi. 10.1093/jjfinec/nbac004
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- Publication type:
- Article
5
Empirical Asset Pricing with Functional Factors.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1258, doi. 10.1093/jjfinec/nbac003
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- Publication type:
- Article
6
The Determinants of Volatility Timing Performance.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1228, doi. 10.1093/jjfinec/nbac002
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- Publication type:
- Article
7
Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1169, doi. 10.1093/jjfinec/nbab032
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- Publication type:
- Article
8
Increasing the information content of realized volatility forecasts.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1064, doi. 10.1093/jjfinec/nbab028
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- Publication type:
- Article
9
A Joint Model for the Term Structure of Interest Rates and Realized Volatility.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1196, doi. 10.1093/jjfinec/nbac001
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- Publication type:
- Article
10
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1099, doi. 10.1093/jjfinec/nbab029
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- Publication type:
- Article
11
The Role of Jumps in Realized Volatility Modeling and Forecasting.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 1143, doi. 10.1093/jjfinec/nbab030
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- Publication type:
- Article
12
Common Bubble Detection in Large Dimensional Financial Systems.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 4, p. 989, doi. 10.1093/jjfinec/nbab027
- By:
- Publication type:
- Article