| Title | Other author(s) | |
|---|---|---|
Jump-Robust Volatility Estimation using Nearest Neighbor TruncationNew York Fed Staff reports [View] (Paper: 465, 05.08.2010) |
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Stochastic VolatilityChicago Fed Working papers [View] (Paper: WP-2009-04, 24.09.2009) |
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Realized VolatilityChicago Fed Working papers [View] (Paper: WP-2008-14, 02.12.2008) |
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure ModelsChicago Fed Working papers [View] (Paper: WP-2006-15, 01.12.2006) |
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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange MarketsBoard of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0871, 29.11.2006) |
