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Volatility

National Institutes of Health

Papers overview

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Highly Cited
2018
Highly Cited
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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Highly Cited
2017
Highly Cited
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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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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2011
2011
We explore the role of strategic price-discrimination by retailers for price determination and inflation dynamics. We model two… Expand
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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2010
2010
This paper investigates the importance of labor market institutions for inflation and unemployment dynamics. Using the New… Expand
2009
2009
We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a… Expand
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Highly Cited
2007
Highly Cited
2007
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return… Expand
2007
2007
This article proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce… Expand