Volatility and Time Series Econometrics
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Published By Oxford University Press

9780199549498
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

scholarly journals Modeling Autoregressive Conditional Skewness and Kurtosis with Multi‐Quantile CAViaR

2010 ◽  
pp. 231-256 ◽  
Author(s):  
Halbert White ◽  
Tae‐Hwan Kim ◽  
Simone Manganelli
Keyword(s):  
Skewness And Kurtosis

A New Model for Limit Order Book Dynamics*

2010 ◽  
pp. 354-364 ◽  
Author(s):  
Jeffrey R. Russell ◽  
Taejin Kim
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
New Model

scholarly journals Volatility Regimes and Global Equity Returns*

2010 ◽  
pp. 257-295 ◽  
Author(s):  
Luis Catão ◽  
Allan Timmermann
Keyword(s):  
Equity Returns ◽  
Volatility Regimes

Measuring Downside Risk – Realized Semivariance*

2010 ◽  
pp. 117-136 ◽  
Author(s):  
Ole E. Barndorff‐Nielsen ◽  
Silja Kinnebrock ◽  
Neil Shephard
Keyword(s):  
Downside Risk

Modeling UK Inflation Uncertainty, 1958–2006

2010 ◽  
pp. 62-78 ◽  
Author(s):  
Gianna Boero ◽  
Jeremy Smith ◽  
Kenneth F. Wallis
Keyword(s):  
Inflation Uncertainty
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