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26 results on '"REALIZED VARIANCE"'

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1. Dynamic partial (co)variance forecasting model.

2. Financial volatility modeling with option-implied information and important macro-factors.

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3. Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets.

4. On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe.

5. Sparse Change-point HAR Models for Realized Variance.

6. Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution.

7. Bias-corrected realized variance.

8. A dynamic equilibrium model for U-shaped pricing kernels.

9. Continuous Time Analysis of Fleeting Discrete Price Moves.

10. Arithmetic variance swaps.

11. Exponential GARCH Modeling With Realized Measures of Volatility.

12. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.

13. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise.

14. News, volatility and jumps: the case of natural gas futures.

15. Equity portfolio diversification with high frequency data.

16. Estimation of Long Memory in Integrated Variance.

17. Convergence of the discrete variance swap in time-homogeneous diffusion models.

18. Realized Volatility Forecasting in the Presence of Time-Varying Noise.

19. The impact of overnight returns on realized volatility.

20. Dynamics of Intraday Serial Correlation in China's Stock Market.

21. Implications of market microstructure for realized variance measurement.

22. Moving Average-Based Estimators of Integrated Variance.

23. Using High-Frequency Data in Dynamic Portfolio Choice.

24. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

25. Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models.

26. Realized Variance and Market Microstructure Noise.