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ArticleInference theory for volatility functional dependencies

Viktor Todorov2016

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Articlebronze2016

Inference theory for volatility functional dependencies

Viktor Todorov · George E. Tauchen

27 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2005Stochastic Integration and Differential Equations 2006The Cross‐Section of Volatility and Expected Returns 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2002Macroeconomic Forecasting Using Diffusion Indexes 2003Limit Theorems for Stochastic Processes 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps

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2015Principal Component Analysis of High Frequency Data

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Year2016

Typearticle

Published2016-02-10

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2016.01.004

openalex_workW2268965151

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