Johan Stax Jakobsen

CREATES

Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

  • CREATES

  • Copenhagen Business School

SCHOLARLY PAPERS

2

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633

SSRN CITATIONS

4

CROSSREF CITATIONS

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Scholarly Papers (2)

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1.

Capturing Volatility Persistence: A Dynamically Complete Realized EGARCH-MIDAS Model

Quantitative Finance, Forthcoming
Number of pages: 38 Posted: 17 Nov 2017 Last Revised: 10 Jul 2019
Daniel Borup and Johan Stax Jakobsen
Aarhus University, CREATES, DFI and CREATES
Downloads 354 (132,133)
Citation 4

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Realized Exponential GARCH, Long Memory, GARCH-MIDAS, HAR, Realized Kernel

2.

Stock Market Volatility and Public Information Flow: A Non-linear Perspective

Economics Letters, Forthcoming
Number of pages: 43 Posted: 10 May 2021
Kristoffer Pons Bertelsen, Daniel Borup and Johan Stax Jakobsen
CREATES, Aarhus University, CREATES, DFI and CREATES
Downloads 279 (169,472)

Abstract:

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News analytics, mixture-distribution hypothesis, realized GARCH, smooth transitioning, stock market volatility, GARCH-MIDAS