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Janus, Pawel's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
112 |
Total
Citations
2 |
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Bos, Charles S. VU University Amsterdam Janus, Pawel VU University Amsterdam Koopman, Siem Jan VU University Amsterdam
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high frequency, intraday periodicity, jump testing, leverage effect, microstructure noise, pre-averaged bipower variation, spot variance
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Janus, Pawel VU University Amsterdam Koopman, Siem Jan VU University Amsterdam Lucas, Andre VU University Amsterdam - Faculty of Economics and Business
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fractional integration, correlation, student's t copula, time-varying dependence, multivariate volatility
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Records 1 -
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