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Audrone Virbickaite

CUNEF Universidad

SCHOLARLY PAPERS

5

DOWNLOADS

386

TOTAL CITATIONS

1

Scholarly Papers (5)

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1.

Intraday Volatility Transmission in Global Energy Markets: A Bayesian Nonparametric Approach

Number of pages: 44 Posted: 01 Aug 2024
Andre A. P. Santos, Audrone Virbickaite and Martina Zaharieva
CUNEF Universidad, CUNEF Universidad and CUNEF Universidad
Downloads 126 (576,708)

Abstract:

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COVID-19, Credible intervals, Dirichlet process mixture (DPM), Marginal log likelihood

2.

Volume-Driven Time-of-Day Effects in Intraday Volatility Models

Number of pages: 39 Posted: 05 Jan 2026
Igor Ferreira Batista Martins, Audrone Virbickaite, Hoang Nguyen and Hedibert Freitas Lopes
Örebro University, CUNEF Universidad, Linkoping University and Insper
Downloads 103 (796,622)

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Intraday Volatility, High-Frequency, Volume, Periodicity

3.

Fast and Slow Level Shifts in Intraday Stochastic Volatility

Number of pages: 36 Posted: 19 Nov 2025
Igor Ferreira Batista Martins, Audrone Virbickaite, Hoang Nguyen and Hedibert Freitas Lopes
Örebro University, CUNEF Universidad, Linkoping University and Insper
Downloads 81 (830,555)

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Intraday Volatility, High-Frequency, Announcements, MIDAS, Oil, Sparsity

4.

Intraday Volatility Transmission in Global Energy Markets:  a Bayesian Nonparametric Approach

Number of pages: 45 Posted: 30 Oct 2024
Martina Danielova Zaharieva, Audrone Virbickaite and André Alves Portela Santos
affiliation not provided to SSRN, CUNEF Universidad and CUNEF Universidad
Downloads 38 (1,236,159)

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COVID-19, Credible intervals, Dirichlet process mixture (DPM), Marginal log likelihood, Volatility spillovers

5.

Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models

Number of pages: 35 Posted: 29 May 2023
Audrone Virbickaite, Hoang Nguyen and Minh-Ngoc Tran
CUNEF Universidad, Linkoping University and The University of Sydney
Downloads 38 (1,222,651)
Citation 1

Abstract:

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ES, GARCH, Gas, MIDAS, SV, VaR