20th Street and Constitution Avenue NW
Washington, DC 20551
Board of Governors of the Federal Reserve System
in Total Papers Citations
Equity return models, parameter uncertainty, Bayesian estimation, high-frequency data, jump-robust volatility measures, value at risk, forecasting
Equity return models, Parameter uncertainty, Bayesian estimation, MCMC, High-frequency data, Jump-robust volatility measures, Value at Risk, Forecasting
Integrated Volatility, Jump Robust
High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation
Expected shortfall, Elliptical distributions, Multivariate Student t distribution, Accurate closed-form expression
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