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Publications by Mico Loretan

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Journal of Empirical Finance

English

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Commodity Markets Volatility Transmission: Roles of Risk Perceptions and Uncertainty in Financial Markets

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Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets

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Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise

Multiscale Modeling and Simulation

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Ecological Modeling

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Long Memory and Data Frequency in Financial Markets

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Estimation of Integrated Volatility in Continuous-Time Financial Models With Applications to Goodness-Of-Fit Testing

Scandinavian Journal of Statistics

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Sustainability Indices in the Financial Markets, Performance and Intraday Volatility Analysis: The Case of Turkey

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Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation

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Modeling the Fractional Integration in Volatility Between the Greater China Financial Markets

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The Connectedness Between Crude Oil and Financial Markets: Evidence From Implied Volatility Indices

Journal of Commodity Markets

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