Developments in measuring and modeling financial volatility

von Janus, Paweł
Veröffentlicht 2012

Long memory dynamics for multivariate dependence under heavy tails

von Janus, Paweł
Veröffentlicht in Journal of empirical finance (2014)

Spot variance path estimation and its application to high-frequency jump testing

von Bos, Charles S.
Veröffentlicht in Journal of financial econometrics (2012)

New HEAVY models for fat-tailed realized covariances and returns

von Opschoor, Anne
Veröffentlicht in Journal of business & economic statistics (2018)