Result Number | Material Type | Add to My Shelf Action | Record Details and Options |
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1 |
Material Type: Artigo
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilitiesBollerslev, Tim ; Gibson, Michael ; Zhou, HaoJournal of econometrics, 2011, Vol.160 (1), p.235-245 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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2 |
Material Type: Artigo
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Jump tails, extreme dependencies, and the distribution of stock returnsBollerslev, Tim ; Todorov, Viktor ; Li, Sophia ZhengziJournal of econometrics, 2013-02, Vol.172 (2), p.307-324 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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3 |
Material Type: Artigo
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A reduced form framework for modeling volatility of speculative prices based on realized variation measuresAndersen, Torben G. ; Bollerslev, Tim ; Huang, XinJournal of econometrics, 2011, Vol.160 (1), p.176-189 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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4 |
Material Type: Artigo
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Realized volatility forecasting and market microstructure noiseAndersen, Torben G. ; Bollerslev, Tim ; Meddahi, NourJournal of econometrics, 2011, Vol.160 (1), p.220-234 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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5 |
Material Type: Artigo
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Volatility puzzles: a simple framework for gauging return-volatility regressionsBollerslev, Tim ; Zhou, HaoJournal of econometrics, 2006-03, Vol.131 (1), p.123-150 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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6 |
Material Type: Artigo
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Modeling and Forecasting Realized VolatilityAndersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Labys, PaulEconometrica, 2003-03, Vol.71 (2), p.579-625 [Periódico revisado por pares]Oxford, UK and Boston, USA: Blackwell Publishing LtdTexto completo disponível |
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7 |
Material Type: Artigo
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implicationsAndersen, Torben G. ; Bollerslev, Tim ; Dobrev, DobrislavJournal of econometrics, 2007-05, Vol.138 (1), p.125-180 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |
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8 |
Material Type: Artigo
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returnsAndersen, Torben G. ; Bollerslev, Tim ; Frederiksen, Per ; Ørregaard Nielsen, MortenJournal of applied econometrics (Chichester, England), 2010-03, Vol.25 (2), p.233-261 [Periódico revisado por pares]Chichester, UK: John Wiley & Sons, LtdTexto completo disponível |
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9 |
Material Type: Artigo
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The Distribution of Realized Exchange Rate VolatilityAndersen, Torben G ; Bollerslev, Tim ; Diebold, Francis X ; Labys, PaulJournal of the American Statistical Association, 2001-03, Vol.96 (453), p.42-55 [Periódico revisado por pares]Alexandria, VA: Taylor & FrancisTexto completo disponível |
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10 |
Material Type: Artigo
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Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized VolatilitiesAndersen, Torben G. ; Bollerslev, Tim ; Meddahi, NourEconometrica, 2005-01, Vol.73 (1), p.279-296 [Periódico revisado por pares]Oxford, UK and Boston, USA: Blackwell Publishing LtdTexto completo disponível |