Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Sheppard, Kevin Keith, Engle, Robert F, Cappiello, Lorenzo
Published in Journal of financial econometrics (01.10.2006)
Published in Journal of financial econometrics (01.10.2006)
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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
Barndorff-Nielsen, Ole E, Shephard, Neil
Published in Journal of financial econometrics (01.01.2006)
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Published in Journal of financial econometrics (01.01.2006)
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Modeling International Financial Returns with a Multivariate Regime-switching Copula
Heinen, Andréas, Valdesogo Robles, Alfonso, Chollete, Lorán
Published in Journal of financial econometrics (01.10.2009)
Published in Journal of financial econometrics (01.10.2009)
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Journal Article
Comparison of Volatility Measures: a Risk Management Perspective
Gallo, Giampiero M, Brownlees, Christian T
Published in Journal of financial econometrics (01.01.2010)
Published in Journal of financial econometrics (01.01.2010)
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Value-at-Risk Prediction: A Comparison of Alternative Strategies
Paolella, Marc S, Kuester, Keith, Mittnik, Stefan
Published in Journal of financial econometrics (01.01.2006)
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Published in Journal of financial econometrics (01.01.2006)
Journal Article
Time-Varying Arrival Rates of Informed and Uninformed Trades
Easley, David, Engle, Robert F., O'Hara, Maureen, Wu, Liuren
Published in Journal of financial econometrics (01.04.2008)
Published in Journal of financial econometrics (01.04.2008)
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Journal Article
Backtesting Value-at-Risk: A GMM Duration-Based Test
Tokpavi, Sessi, Candelon, Bertrand, Hurlin, Christophe, Colletaz, Gilbert
Published in Journal of financial econometrics (01.04.2011)
Published in Journal of financial econometrics (01.04.2011)
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
Gallo, Giampiero M, Brownlees, Christian T, Cipollini, Fabrizio
Published in Journal of financial econometrics (01.07.2011)
Published in Journal of financial econometrics (01.07.2011)
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