Bibliografie
GA13-32263S
- : Estimation of long memory in volatility using wavelets , Studies in Nonlinear Dynamics and Econometrics vol.21, [2017] Download DOI: 10.1515/snde-2016-0101
- : On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model , Journal of Forecasting vol.36, 1 (2017), p. 181-206 [2017] Download DOI: 10.1002/for.2423
- : Modeling and Forecasting Persistent Financial Durations , Econometric Reviews vol.36, 10 (2017), p. 1081-1110 [2017] Download DOI: 10.1080/07474938.2014.977057
- : Modeling and forecasting exchange rate volatility in time-frequency domain , European Journal of Operational Research vol.251, 1 (2016), p. 329-340 [2016] Download DOI: 10.1016/j.ejor.2015.12.010
- : Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility , Journal of Financial Econometrics vol.14, 1 (2016), p. 185-226 [2016] Download DOI: 10.1093/jjfinec/nbu029
- : Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data , Energy Economics vol.51, 1 (2015), p. 31-44 [2015] Download DOI: 10.1016/j.eneco.2015.05.018
- : Realized wavelet-based estimation of integrated variance and jumps in the presence of noise , Quantitative Finance vol.15, 8 (2015), p. 1347-1364 [2015] Download DOI: 10.1080/14697688.2014.950319
- : Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility , Quantitative Finance vol.15, 6 (2015), p. 959-973 [2015] Download DOI: 10.1080/14697688.2014.950319