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JEL: C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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Journal Article

Risk Everywhere: Modeling and Managing Volatility

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Tim Bollerslev and others
The Review of Financial Studies, Volume 31, Issue 7, July 2018, Pages 2729–2773, https://doi.org/10.1093/rfs/hhy041
Published: 22 May 2018
Journal Article

Deflation Risk Get access

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Matthias Fleckenstein and others
The Review of Financial Studies, Volume 30, Issue 8, August 2017, Pages 2719–2760, https://doi.org/10.1093/rfs/hhx021
Published: 27 February 2017
Journal Article

Expected Stock Returns and Variance Risk Premia Get access

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Tim Bollerslev and others
The Review of Financial Studies, Volume 22, Issue 11, November 2009, Pages 4463–4492, https://doi.org/10.1093/rfs/hhp008
Published: 12 February 2009
Journal Article

The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes Get access

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Robert F. Engle and Jose Gonzalo Rangel
The Review of Financial Studies, Volume 21, Issue 3, May 2008, Pages 1187–1222, https://doi.org/10.1093/rfs/hhn004
Published: 28 February 2008