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Volatility

 
National Institutes of Health

Papers overview

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2018
2018
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers… Expand
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2017
2017
Abstract Secondary organic aerosols (SOA) forms a major fraction of organic aerosols in the atmosphere. Knowledge of SOA… Expand
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2015
2015
The risk of a large portfolio is often estimated by substituting a good estimator of the volatility matrix. However, the accuracy… Expand
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2014
2014
A very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes is proposed… Expand
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2013
2013
There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore… Expand
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Highly Cited
2011
Highly Cited
2011
The role of the anterior cingulate cortex (ACC) in cognition has been extensively investigated with several techniques, including… Expand
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2011
2011
We explore the role of strategic price-discrimination by retailers for price determination and inflation dynamics. We model two… Expand
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Highly Cited
2008
Highly Cited
2008
The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a… Expand
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2007
2007
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return… Expand
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2007
2007
This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce… Expand
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