4

On the functional estimation of jump–diffusion models

Year:
2003
Language:
english
File:
PDF, 371 KB
english, 2003
5

NONPARAMETRIC STOCHASTIC VOLATILITY

Year:
2018
Language:
english
File:
PDF, 645 KB
english, 2018
7

Time-varying leverage effects

Year:
2012
Language:
english
File:
PDF, 574 KB
english, 2012
8

Separating microstructure noise from volatility

Year:
2006
Language:
english
File:
PDF, 410 KB
english, 2006
10

EXcess Idle Time

Year:
2017
Language:
english
File:
PDF, 1.50 MB
english, 2017
11

The Scale of Predictability

Year:
2012
Language:
english
File:
PDF, 1.02 MB
english, 2012
12

Zeros

Year:
2020
File:
PDF, 2.83 MB
2020
15

Short-term interest rate dynamics: a spatial approach

Year:
2002
Language:
english
File:
PDF, 539 KB
english, 2002
17

Comment

Year:
2006
Language:
english
File:
PDF, 326 KB
english, 2006
18

Realized volatility forecasting and option pricing

Year:
2008
Language:
english
File:
PDF, 1.88 MB
english, 2008
19

NONPARAMETRIC NONSTATIONARITY TESTS

Year:
2014
Language:
english
File:
PDF, 213 KB
english, 2014
21

Handbook of Financial Econometrics: Tools and Techniques || Nonstationary Continuous-Time Processes

Year:
2010
Language:
english
File:
PDF, 444 KB
english, 2010
22

Time-Varying Leverage Effects

Year:
2010
Language:
english
File:
PDF, 488 KB
english, 2010
23

Possibly Nonstationary Cross-Validation

Year:
2017
Language:
english
File:
PDF, 867 KB
english, 2017
25

Farewell Editorial

Year:
2019
File:
PDF, 79 KB
2019
26

Nonparametric Stochastic Volatility

Year:
2010
Language:
english
File:
PDF, 331 KB
english, 2010
27

Price and Volatility Co-Jumps

Year:
2011
Language:
english
File:
PDF, 702 KB
english, 2011
29

Fully Nonparametric Estimation of Scalar Diffusion Models

Year:
2003
Language:
english
File:
PDF, 321 KB
english, 2003
30

Long-run risk-return trade-offs

Year:
2008
Language:
english
File:
PDF, 433 KB
english, 2008
32

Using High-Frequency Data in Dynamic Portfolio Choice

Year:
2008
Language:
english
File:
PDF, 1.67 MB
english, 2008
33

Separating Microstructure Noise from Volatility

Year:
2004
Language:
english
File:
PDF, 447 KB
english, 2004
34

Editorial

Year:
2018
Language:
english
File:
PDF, 86 KB
english, 2018
35

ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES

Year:
2017
Language:
english
File:
PDF, 575 KB
english, 2017
36

Fully Nonparametric Estimation of Scalar Diffusion Models

Year:
2003
Language:
english
File:
PDF, 962 KB
english, 2003