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Publications by Per Frederiksen

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Journal of Applied Econometrics

Social Sciences

English

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Observation-Driven Models for Realized Variances and Overnight Returns

SSRN Electronic Journal

English

Prediction of Stock Price Movement Using Continuous Time Models

Journal of Mathematical Finance

English

Sign Realized Jump Risk and the Cross-Section of Stock Returns: Evidence From China's Stock Market

Multidisciplinary

English

Quantile Forecasts of Daily Exchange Rate Returns From Forecasts of Realized Volatility

Journal of Empirical Finance

English

Local Indeterminacy in Continuous-Time Models: The Role of Returns to Scale

Macroeconomic Dynamics

English

Volatility Transmission Between Japan, UK and USA in Daily Stock Returns

Empirical Economics

Social Sciences

English

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

Review of Financial Studies

English

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

English

Modeling and Forecasting Financial Volatilities Using a Joint Model for Range and Realized Volatility

Open Journal of Business and Management

English