Journal of Financial Econometrics

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A Simple Approximate Long-Memory Model of Realized Volatility
Journal of Financial Econometrics - Tập 7 Số 2 - Trang 174-196
Fulvio Corsi
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
Journal of Financial Econometrics - Tập 3 Số 4 - Trang 555-577
Roel C. A. Oomen
Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*
Journal of Financial Econometrics - Tập 18 Số 2 - Trang 280-306 - 2020
Simon Trimborn, Mingyang Li, Wolfgang Karl Härdle
AbstractCryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfo... hiện toàn bộ
Are There Structural Breaks in Realized Volatility?
Journal of Financial Econometrics - Tập 6 Số 3 - Trang 326-360
Chong Liu, John M. Maheu
Power and Bipower Variation with Stochastic Volatility and Jumps
Journal of Financial Econometrics - Tập 2 Số 1 - Trang 1-37 - 2004
Ole E. Barndorff–Nielsen, Neil Shephard
The Robustness of the Conditional CAPM with Human Capital
Journal of Financial Econometrics - Tập 1 Số 2 - Trang 272-289 - 2003
Ignacio Palacios‐Huerta
Tổng số: 6   
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