2 research outputs found
Testing the Lag Structure of Assets’ Realized Volatility Dynamics
- Author
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Ang A Bekaert G
- Audrino F Knaus SD
- Barndorff-Nielsen OE Shephard N
- Bertram P Kruse R, Sibbertsen P
- Bollerslev T
- Bühlmann P Rütimann P, Geer SVD, et al.
- Campbell JY Yogo M
- Goetzmann WN Jorion P
- Hansen PR Lunde A
- Hillebrand E Medeiros MC
- Hwang E Shin D
- Kock AB
- Kock AB Callot LAF
- Kothari SP Shanken J
- Leeb H Pötscher BM
- McAleer M Medeiros MC
- Medeiros MC Mendes E
- Nelson CR Kim MJ
- Pötscher BM Schneider U
- Romano JP Wolf M
- Stambaugh RF
- Torous W Valkanov R, Yan S
- Wang SH Bauwens L, Hsiao C
- Zhang L Mykland PA, Aїt-Sahalia Y
- Zou H
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2017
- Field of study
The memory of volatility
- Author
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andrews DWK Sun Y
- Arteche J
- Arteche J Orbe J
- Barndorff-Nielsen OE Hansen PR, Lunde A, et al.
- Barndorff-Nielsen OE Shephard N
- Chiriac R Voev V
- Deo RS Hurvich CM
- Deo RS Hurvich CM, Lu Y
- Diebold FX Inoue A
- Frederiksen P Nielsen FS, Nielsen M
- Geweke J Porter-Hudak S
- Gourieroux C Jasiak J
- Granger CWJ Ding Z
- Granger CWJ Hyung N
- Hou J Perron P
- Hurvich CM Moulines E, Soulier P
- Hurvich CM Ray BK
- Iacone F
- Leccadito A Rachedi O, Urga G
- Lu YK Perron P
- Martens M Dijk DV, de Pooter M
- McCloskey A Perron P
- Mikosch T Stărică C
- Perron P Qu Z
- Qu Z
- Velasco C
- Xu J Perron P
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2018
- Field of study