Uta Kretschmer

University of Bonn, Department of Economics

Postfach 2220

D-53113 Bonn

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

659

SSRN CITATIONS
Rank 28,066

SSRN RANKINGS

Top 28,066

in Total Papers Citations

8

CROSSREF CITATIONS

17

Scholarly Papers (3)

1.

A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects

Number of pages: 43 Posted: 24 Aug 2005
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 460 (64,008)
Citation 11

Abstract:

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Stochastic volatility, Realized volatility, Bipower variation, Jumps, Leverage effect, Return distributions, Simultaneous equation model

2.

A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of pages: 49 Posted: 23 Jun 2008
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Duke University - Economics Group
Downloads 199 (158,324)
Citation 18

Abstract:

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Realized volatility, Bipower variation, Jumps, Leverage effect, Simultaneous equation model

3.

The Volatility of Realized Volatility

CFS Working Paper No. 2005/33
Posted: 07 Jun 2006
University of Pisa - Department of Economics, University of Bonn, Department of Economics, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilian University of Munich (LMU) - Department of Statistics

Abstract:

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Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse