Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 531, doi. 10.1093/jjfinec/nbad006
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2024 AND VI 22 AND IP 2
Results: 6
1
2
Volatility Forecasting with Machine Learning and Intraday Commonality.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 492, doi. 10.1093/jjfinec/nbad005
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- Publication type:
- Article
3
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 461, doi. 10.1093/jjfinec/nbad003
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- Publication type:
- Article
4
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 407, doi. 10.1093/jjfinec/nbad002
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- Publication type:
- Article
5
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 375, doi. 10.1093/jjfinec/nbad001
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- Publication type:
- Article
6
Dynamic Nonparametric Clustering of Multivariate Panel Data.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 2, p. 335, doi. 10.1093/jjfinec/nbac038
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- Publication type:
- Article