8 research outputs found
Dynamic Global Currency Hedging
- Author
- B J Christensen
- Bent Jesper Christensen
- C Burnside
- C S Asness
- C S Eun
- C S Eun
- D P Foster
- E Andreou
- E F Fama
- F A De Roon
- F Akram
- F Longin
- F R Hampel
- G Bekaert
- H G Grubel
- H Levy
- H Lustig
- H Lustig
- J Fleming
- J Fleming
- J Glen
- J Jacod
- J M Schmittmann
- J Y Campbell
- K Back
- L Menkhoff
- L Menkhoff
- M Britten-Jones
- M K Brunnermeier
- O E Barndorff-Nielsen
- O Ledoit
- P Christoffersen
- P Della Corte
- R Baillie
- R Chiriac
- R Engle
- R T Varneskov
- R T Varneskov
- R W Anderson
- Rasmus Tangsgaard Varneskov
- S Holm
- T A Kroencke
- T G Andersen
- T G Andersen
- T G Andersen
- T J Moskowitz
- T Ramadorai
- V Errunza
- W Opie
- Y Han
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
A Truncated Two-Scales Realized Volatility Estimator
- Author
- B.-Y Jing
- C Brownlees
- C Mancini
- C Mancini
- Christian T. Brownlees
- D Kim
- Eulalia Nualart
- F Corsi
- I Karatzas
- J Barunik
- J Fan
- J Fan
- J Jacod
- J Jacod
- J Jacod
- J Jacod
- J Jacod
- J Jacod
- J Jacod
- J Jacod
- J Li
- K Christensen
- L Zhang
- L Zhang
- M Bibinger
- M Metivier
- M Podolskij
- M Podolskij
- M Tao
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- P R Hansen
- R Cont
- R Cont
- R T Varneskov
- R T Varneskov
- S S Lee
- T G Andersen
- T G Andersen
- T G Andersen
- W Woerner
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Yucheng Sun
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Inference from High-Frequency Data: A Subsampling Approach
- Author
- A J Patton
- B Zhou
- Bezirgen Veliyev
- C Mancini
- D N Politis
- D N Politis
- D Nualart
- F M Bandi
- H M Markowitz
- J Jacod
- K Back
- Kim Christensen
- L Zhang
- L Zhang
- M Podolskij
- M Vetter
- Mark Podolskij
- N Hautsch
- N Hautsch
- N Ikeda
- Nopporn Thamrongrat
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- P A Mykland
- P A Mykland
- P R Hansen
- R C A Oomen
- R Roll
- R T Varneskov
- S L Heston
- S S Ikeda
- T G Andersen
- T G Andersen
- T G Andersen
- T G Andersen
- V Niederhoffer
- W F Sharpe
- W H Greene
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2015
- Field of study
Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
- Author
- A J Patton
- A Lunde
- C Pakel
- C T Lawrence
- D B Brown
- D H Oh
- D Holtz-Eakin
- D N Politis
- D Noureldin
- E W Anderson
- F Corsi
- F M Bandi
- F X Diebold
- H White
- I De Lira Salvatierra
- I Komunjer
- J Brodie
- J Fan
- J Fleming
- J Fleming
- J Li
- J R Magnus
- J Staudenmayer
- J Tu
- K Christensen
- L K Chan
- M Baker
- M Constantinides
- M D Pooter
- M Marcellino
- N Hautsch
- N Sizova
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O Ledoit
- O Ledoit
- O Ledoit
- P R Hansen
- P R Hansen
- P R Hansen
- Q Liu
- R Chiriac
- R Engle
- R Jagannathan
- R Varneskov
- S Gon�alves
- S Laurent
- T Bollerslev
- T Bollerslev
- T G Andersen
- T G Andersen
- T G Andersen
- T G Andersen
- T G Andersen
- T G Andersen
- T W Epps
- Tim Bollerslev
- V Demiguel
- V Demiguel
- V Demiguel
- V Voev
- Y A�?ta�?t-Sahalia
- Y Han
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Long-Range Dependence in the Realized (Exponential) GARCH Framework
- Author
- A J Patton
- A K V Lunde
- A P Mccloskey
- B J Christensen
- C Conrad
- C G W D Lamoureux
- C K Conrad
- C L Q Francq
- C T Amado
- D B Nelson
- D M Borup
- D W K Andrews
- Daniel Borup
- E D N Paparoditis
- E Ghysels
- E Ghysels
- E Hillebrand
- F Corsi
- F M Bandi
- F M J F Bandi
- F X A Diebold
- F X Diebold
- F X R S Diebold
- H Asgharian
- H D Han
- H Han
- H Vander Elst
- J Davidson
- J Fleming
- Johan Stax Jakobsen
- K Shimotsu
- K Wenger
- L E Forsberg
- M Martens
- N K Shephard
- O E Barndorff-Nielsen
- P R A Hansen
- P R Hansen
- P R Hansen
- P R Z Hansen
- R Engle
- R F Engle
- R F G Engle
- R F G M Engle
- R F J G Engle
- R H Giacomini
- R P Varneskov
- R R Engle
- R T Baillie
- R T Engle
- S J Koopman
- T Bollerslev
- T Bollerslev
- T C Mikosch
- T E K D Clark
- T E M Clark
- T G Andersen
- U A M�ller
- W Goetzmann
- W K K D Newey
- Y Feng
- Y H Dominicy
- Y Tse
- Z Ding
- Z Huang
- Z Huang
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study
Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-Definite Estimators of the Covariation of Equity Prices
- Author
- A Cartea
- A Gloter
- A Gloter
- A Lunde
- B Zhou
- B Zhou
- C F Ansley
- C F J Wu
- C Liu
- C R Harvey
- C T Brownlees
- D Xiu
- Dacheng Xiu
- E F Fama
- F Corsi
- F M Bandi
- G Chamberlain
- H White
- I Kalnina
- J Bai
- J Bai
- J Durbin
- J Fan
- J H Stock
- J Jacod
- J Jacod
- J Jacod
- J Li
- J P Owens
- J R Magnus
- J R Magnus
- K Christensen
- K Christensen
- L Zhang
- L Zhang
- M Bibinger
- M Bibinger
- M E Mancino
- M E Mancino
- M L Stein
- M Mcaleer
- M Rei�
- N Kunitomo
- N Shephard
- Neil Shephard
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- O E Barndorff-Nielsen
- P De Jong
- P Malliavin
- P Malliavin
- P Protter
- P R Hansen
- P R Hansen
- P R Hansen
- P R Hansen
- R Altmeyer
- R F Engle
- R F Engle
- R F Engle
- R T Varneskov
- S A Ross
- S Park
- S Park
- S Peluso
- S Sanfelici
- T G Andersen
- T G Andersen
- T G Andersen
- T Hayashi
- T W Anderson
- T W Epps
- V Demiguel
- W K Newey
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y K Tse
- Y Koike
- Y Li
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
Do Co-Jumps Impact Correlations in Currency Markets?
- Author
- A J Patton
- A Serroukh
- A Serroukh
- B Whitcher
- B Whitcher
- C Mancini
- C Otrok
- D B Percival
- D B Percival
- D Gilder
- D L Donoho
- F Bandi
- F Jawadi
- F M Bandi
- Following Whitcher
- I Antoniou
- I Daubechies
- I Dew-Becker
- I Dew-Becker
- J Barunik
- J Barunik
- J Fan
- J Griffin
- J Jacod
- J Lahaye
- J Li
- J Novotn�ynovotn�y
- J Yu
- J.-Y Gnabo
- Jozef Barunik
- K Boudt
- L Zhang
- L Zhang
- Lukas Vacha
- M Bibinger
- M Boons
- M Caporin
- N Crouzet
- O Barndorff-Nielsen
- O Barndorff-Nielsen
- O Barndorff-Nielsen
- O Barndorff-Nielsen
- P Dovonon
- P Protter
- R Bidder
- R Gen�ay
- R Gen�ay
- R T Varneskov
- S Lee
- S Mallat
- T Andersen
- T Bollerslev
- T Bollerslev
- T G Andersen
- T G Andersen
- T Hayashi
- T W Epps
- V Voev
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Y Wang
- Y Xue
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach
- Author
- A Leucht
- A W Van Der Vaart
- B Baeumer
- B Efron
- B Kelly
- B Mandelbrot
- B Mandelbrot
- B.-Y Jing
- C Bontemps
- C Kl�ppelberg
- E Beutner
- E Carlstein
- E Fama
- E Fama
- E Paparoditis
- E Paparoditis
- F Delbaen
- F M Bandi
- H R Kunsch
- I Monroe
- J Jacod
- J Jacod
- J L Horowitz
- J Praestgaard
- K Back
- K Sato
- L Wu
- M A Arcones
- M A Stephens
- M Chernov
- O E Barndorff-Nielsen
- P Billingsley
- P B�hlmann
- P Carr
- P Carr
- P Carr
- P Carr
- P Doukhan
- P Dovonon
- P Hall
- P J Bickel
- P K Clark
- P R Hansen
- R Cont
- R Davidson
- R Davidson
- R N Bhattacharya
- R Y Liu
- R Y Liu
- Rasmus Tangsgaard Varneskov
- S Gon�alves
- S S Shapiro
- S S Shapiro
- S Smeekes
- T An�
- T G Andersen
- T G Andersen
- T G Andersen
- T G Andersen
- T Mikosch
- U Hounyo
- U Hounyo
- U V Naik-Nimbalkar
- Ulrich Hounyo
- V Todorov
- V Todorov
- V Todorov
- V Todorov
- V Todorov
- V Todorov
- V Todorov
- V Todorov
- X Huang
- X Shao
- X Shao
- Y A�?ta�?t-Sahalia
- Y A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2018
- Field of study