Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Zikes, Filip"'
Autor:
Jahan-Parvar, Mohammad R1 (AUTHOR), Zikes, Filip1 (AUTHOR) filip.zikes@frb.gov
Publikováno v:
Review of Financial Studies. Oct2023, Vol. 36 Issue 10, p4190-4232. 43p.
Akademický článek
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Publikováno v:
In Journal of Banking and Finance September 2021 130
Autor:
Zikes, Filip
This thesis exploits the information contained in high-frequency data to test and model the distributions of returns of financial assets and their volatility. In Chapter 1 we study the asymptotics of some common tests for normality when applied to re
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.534982
Autor:
Zikes, Filip, Barunik, Jozef
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regressi
Externí odkaz:
http://arxiv.org/abs/1308.4276
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential $\beta$-mixing as we show in t
Externí odkaz:
http://arxiv.org/abs/1208.3087
Autor:
Benos, Evangelos, Žikeš, Filip
Publikováno v:
In Journal of Financial Markets June 2018 39:24-43
Publikováno v:
The Journal of Financial and Quantitative Analysis, 2017 Aug 01. 52(4), 1375-1402.
Externí odkaz:
https://www.jstor.org/stable/26590446
Publikováno v:
Journal of Applied Econometrics, 2016 Jan 01. 31(1), 58-84.
Externí odkaz:
https://www.jstor.org/stable/26609087