[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
In: CIRANO Working Papers.
RePEc:cir:cirwor:2004s-25.

Full description at Econpapers || Download paper

Cited: 14

Citations received by this document

Cites: 68

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong .
    In: Review of Economics & Finance.
    RePEc:bap:journl:170204.

    Full description at Econpapers || Download paper

  2. MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert.
    In: Managerial Economics.
    RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

    Full description at Econpapers || Download paper

  3. Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mollah, Sabur ; Mobarek, Asma ; Jun, AI.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

    Full description at Econpapers || Download paper

  4. Spot volatility estimation using delta sequences. (2015). Renò, Roberto ; Mattiussi, Vanessa ; Reno, Roberto ; Mancini, Cecilia.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:2:p:261-293.

    Full description at Econpapers || Download paper

  5. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun .
    In: Working Papers.
    RePEc:hhs:lunewp:2014_037.

    Full description at Econpapers || Download paper

  6. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: CREATES Research Papers.
    RePEc:aah:create:2014-13.

    Full description at Econpapers || Download paper

  7. Robust volatility forecasts in the presence of structural breaks. (2012). Kourouyiannis, Constantinos ; Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:08-2012.

    Full description at Econpapers || Download paper

  8. Spot Volatility Estimation Using Delta Sequences. (2012). Renò, Roberto ; Mancini, Cecilia ; Mattiussi, Vanessa ; Reno, Roberto.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2012-10.

    Full description at Econpapers || Download paper

  9. Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX). (2010). Herwany, Aldrin ; Febrian, Erie.
    In: Working Papers in Business, Management and Finance.
    RePEc:unp:wpaman:201003.

    Full description at Econpapers || Download paper

  10. Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX). (2009). Herwany, Aldrin ; Febrian, Erie.
    In: Working Papers in Economics and Development Studies (WoPEDS).
    RePEc:unp:wpaper:200910.

    Full description at Econpapers || Download paper

  11. Monitoring disruptions in financial markets. (2006). Andreou, Elena ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:77-124.

    Full description at Econpapers || Download paper

  12. Testing for changes in volatility in heteroskedastic time series - a further examination. (2004). van Dijk, Dick ; De Pooter, Michiel ; van Dijk, D. J. C., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:1627.

    Full description at Econpapers || Download paper

  13. Monitoring for Disruptions in Financial Markets. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-26.

    Full description at Econpapers || Download paper

  14. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Alizadeh, S., M. W. Brandt and F.X. Diebold (2002), Range-based estimation of stochastic volatility models, Journal of Finance, 57, 10471091.

  2. [11] Bai, J. (2003), Testing Parametric Conditional Distributions of Dynamic Models Review of Economics and Statistics (forthcoming).

  3. [12] Barndorff-Nielsen, O. (1963), On the limit behaviour of extreme order statistics, Annals of Mathematical Statistics, 34, 992-1002.
    Paper not yet in RePEc: Add citation now

  4. [13] Barndorff-Nielsen, O. and N. Shephard (2001), Non-Gaussian OrnsteinUhlenbeck-based models and some of their uses in financial economics (with discussion), Journal of the Royal Statistical Society, Series B, 63, 167-241.

  5. [14] Barndorff-Nielsen, O. and N. Shephard (2002a), Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B, 64, 253-280.

  6. [15] Barndorff-Nielsen, O. and N. Shephard (2002b) Estimating quadratic variation using realised variance Journal of Applied Econometrics, 17, 5, 457-477.

  7. [16] Barndorff-Nielsen, O. and N. Shephard (2003a) Realised power variation and stochastic volatility models, Bernoulli forthcoming.

  8. [17] Barndorff-Nielsen, O. and N. Shephard (2003b) How accurate is the asymptotic approximation to the distribution of realised volatility? in D.W.K. Andrews, J. Powell, P. Ruud and J. Stock (ed.), Identification and Inference for Econometric Models. A Festschrift for Tom Rothenberg, Cambridge University Press, (forthcoming).

  9. [18] Bates, D. (2000), Post-87 Crash Fears in the S&P 500 Futures Option Market, Journal of Econometrics, 94, 181-23

  10. [19] Berkes I., L. Horvath and P. Kokoszka (2002), GARCH processes: structure and estimation, Bernoulli forthcoming.
    Paper not yet in RePEc: Add citation now

  11. [2] Andersen, T. and T. Bollerslev (1998) Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review, 39, 885-905.

  12. [20] Blum, J.R., Kiefer J. and M. Rosenblatt (1961) Distribution free tests of independence based on the sample distribution function, The Annals of Mathematical Statistics, 32, 485-498.
    Paper not yet in RePEc: Add citation now

  13. [21] Bollerslev, T., R. F. Engle and D. B. Nelson (1994), ARCH Models, in Robert F. Engle and Dan McFadden (eds.), Handbook of Econometrics, Volume IV, 2959-3038. Amsterdam: North-Holland.

  14. [22] Carrasco, M. and X. Chen (2002), Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models, Econometric Theory, 17, 1, 17-39.

  15. [23] Christoffersen P., J. Hahn and A. Inoue (2001), Testing and Comparing Value-at-Risk Measures, Journal of Empirical Finance, 8, 325-342.

  16. [24] Chu, C.-S. (1995), Detecting parameter shift in GARCH models, Econometric Reviews, 14, 241-266.
    Paper not yet in RePEc: Add citation now
  17. [25] Csorgo, M. and L. Horv´ath (1997), Limit Theorems in Change-Point Analysis, Wiley, New York.
    Paper not yet in RePEc: Add citation now

  18. [27] Den Haan, W.J., and A. Levin (1997), A Practioners Guide to Robust Covariance Matrix Estimation in C.R. Rao and G.S. Maddala (eds.) Handbook of Statistics - Vol. 15, 291-341.

  19. [28] Diebold, F.X. (1986), Modeling the persistence of conditional variances: A comment, Econometric Reviews, 5, 51-56.
    Paper not yet in RePEc: Add citation now

  20. [29] Diebold, F.X. and Inoue, A. (2001), Long Memory and Structural Change, Journal of Econometrics 105, 131-159.

  21. [3] Andersen, T.G., Bollerslev, T. and Diebold, F.X. (2003), Parametric and Nonparametric Volatility Measurement, in L.P. Hansen and Y. Ait-Sahalia (eds.), Handbook of Financial Econometrics, Amsterdam: North-Holland, forthcoming.
    Paper not yet in RePEc: Add citation now

  22. [30] de Lima P. (1998), Nonlinearities and nonstationarities in stock returns , Journal of Business and Economic Statistics, 16, 2, 227-236.

  23. [31] Ding, Z., Granger, C.W.J. and Engle, R.F. (1993) A Long-memory Properties of Stock Market Returns and a New Model, Journal of Empirical Finance, 1, 83-106.

  24. [32] Drost, F. C. and T. Nijman (1993), Temporal Aggregation of GARCH Processes, Econometrica, 61, 909-727.

  25. [33] Drost, F. C. and B. M.J. Werker (1996), Closing the GARCH Gap: Continuous Time GARCH Modeling, Journal of Econometrics, 74, 3157.

  26. [34] Engle, R.F. (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation, Econometrica, 50, 987-1007.

  27. [35] Feller W. (1951) The asymptotic distribution of the range of sums of independent random variables, Annals of Mathematical Statistics, 22, 427-32.
    Paper not yet in RePEc: Add citation now

  28. [36] French, K. R., W. Schwert and R.F. Stambaugh (1987) Expected stock returns and volatility, Journal of Financial Economics, 19, 3-29.

  29. [37] Foster, D. and D. Nelson (1996) Continuous Record Asymptotics for Rolling Sample Estimators, Econometrica, 64, 139-174.

  30. [38] Ghysels, E. (1998), On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt Journal of Finance 53, 549-573.

  31. [39] Ghysels, E. Harvey A. and E. Renault, (1996) Stochastic Volatility, G. S. Maddala and C. R. Rao. eds., Handbook of Statistics, Vol. 14.

  32. [4] Andreou, E. and E. Ghysels (2002a), Rolling sample volatility estimators: some new theoretical, simulation and empirical results Journal of Business and Economic Statistics, 20, 3, 363-376.

  33. [40] Giraitis L., R. Leipus and D. Surgailis (1996), The change-point problem for dependent observations, Journal of Statistical Planning and Inference, 53, 3, 297-310.
    Paper not yet in RePEc: Add citation now

  34. [41] Hall P. and Q. Yao (2003) Inference in ARCH and GARCH models with heavy-tailed errors, Econometrica, forthcoming.

  35. [42] Hendry, D. F. (1986), An Excursion into Conditional Variance Land, Econometric Reviews, 5, 63-69.
    Paper not yet in RePEc: Add citation now

  36. [43] Hong, Y. and Y-J Lee (2003) Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroskedasticity of Unknown Form, Econometric Theory, forthcoming.

  37. [44] Horvath, L., P. Kokoszka and G. Teyssi`ere (2001), Empirical Process of the Squared Residuals of an ARCH sequence, Annals of Statistics, 29, 445-469.

  38. [45] Hsieh (1991), Chaos and Nonlinear Dynamics: Application to Financial Markets, Journal of Finance 46, 1839-1877.

  39. [46] Inoue, A. (2001), Testing for Distributional Change in Time Series, Econometric Theory, 17, 156-187.

  40. [47] Kokoszka, P. and R. Leipus (1999), Testing for parameter changes in ARCH models, Lithuanian Mathematical Journal 39, 231-247.
    Paper not yet in RePEc: Add citation now
  41. [48] Kokoszka, P. and R. Leipus (2000), Change-point estimation in ARCH models, Bernoulli, 6, 1-28.
    Paper not yet in RePEc: Add citation now
  42. [49] Kokoszka P. and G. Teyssi`ere (2002) Change-point detection in GARCH models: Asymptotic and boostrap tests, Core Discussion Paper, 65.
    Paper not yet in RePEc: Add citation now

  43. [5] Andreou E. and E. Ghysels (2002b), Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics, 17, 5, 579-600.

  44. [50] Koul, H.L., (1996), Asymptotics of some Estimators and Sequential Empiricals in Non-Linear Time Series, Annals of Statistics, 24, 380404.
    Paper not yet in RePEc: Add citation now
  45. [51] Koul, H.L., (2002), Weighted Empirical Processes in Dynamic Nonlinear Models, 2nd ed., Lecture Notes in Statistics, Vol., 166, Springer.
    Paper not yet in RePEc: Add citation now
  46. [52] Koul H.L and K. Mukherjee (2002), Some estimation procedures in ARCH models, Discussion Paper.
    Paper not yet in RePEc: Add citation now

  47. [53] Lamoureux, C.G. and W.D. Lastrapes (1990), Persistence in variance, structural change and the GARCH model, Journal of Business and Economic Statistics, 8, 225-234.

  48. [54] Lavielle, M. (1999) Detection of multiple changes in a sequence of dependent variables, Stochastic Processes and their Applications, 83, 1, 79-102.

  49. [55] Lavielle, M. and E. Moulines (2000), Leat-squares Estimation of an Unknown Number of Shifts in Time Series, Journal of Time Series Analysis, 20, 33-60.

  50. [56] Lundbergh, S. and T. Terasvirta (1998), Evaluating GARCH models, Journal of Econometrics, 110, 417-435.

  51. [57] Merton, R. C. (1980), On Estimating the Expected Return on the Market: An Exploratory Investigation, Journal of Financial Economics 8, 323-361.

  52. [58] Mikosch, T. and C. Starica, C. (2000), Limit theory for the sample autocorrelation and extremes of a GARCH(1,1) process, Annals of Statistics, 28, 1427-1451,
    Paper not yet in RePEc: Add citation now

  53. [59] Mikosch, T. and C. Starica, C. (2003), Change of structure in financial time series, long range dependence and the GARCH model, Review of Economics and Statistics, forthcoming.

  54. [6] Andreou, E. and E. Ghysels, (2002c), When do Jump Diffusions Approximate Returns? Nonparametric Test Procedures Based on Price Rigidity and Discreteness, Work in progress.
    Paper not yet in RePEc: Add citation now

  55. [60] Parkinson M. (1980), The extreme value method for estimating the variance of the rate of return, Journal of Business, 53, 61-5.

  56. [61] P´astor, L. and R. Stambaugh (2001), The equity premium puzzle and structural breaks, Journal of Finance, 56, 4, 1207-39.

  57. [62] Picard D. (1985), Testing and Estimating Change-Points in Time Series , Advances in Applied Probability, 17, 841-867.
    Paper not yet in RePEc: Add citation now

  58. [63] Poterba, J.M. and L. H. Summers, (1986), The Persistence of Volatility and Stock Market Fluctuations, American Economic Review, 76, 11421151.

  59. [64] Quintos C., Z. Fan and P.C.B. Phillips (2001), Structural Change in Tail Behavior and the Asian Financial Crisis, Review of Economic Studies, 68, 3, 633-663.

  60. [65] Riskmetrics Manual, (1995), J.P. Morgan Corporation, New York.
    Paper not yet in RePEc: Add citation now

  61. [66] Schwert, G.W. (1989), Why does Stock Market Volatility Change Over Time?, Journal of Finance, 44, 1115-1154.

  62. [67] Szyszkowich, B. (1998) Weighted Sequential Empirical Type Processes with Application to Change-Point Problems, Handbook of Statistics, edited by N. Balakrishnan and C.R. Rao, Vol. 16, Ch. 20, 573-630.
    Paper not yet in RePEc: Add citation now

  63. [68] Timmerman, A. (2001), Structural Breaks, Incomplete Information, and Stock Prices, Journal of Business and Economic Statistics, 299315.

  64. [69] White, H. (1984) Asymptotic Theory for Econometricians, Academic Press.
    Paper not yet in RePEc: Add citation now
  65. [7] Andreou, E. and E. Ghysels (2003a), Quality Control for Financial Risk Management: Monitoring Disruptions in the Distribution of Risk Exposure, Discussion Paper, UNC.
    Paper not yet in RePEc: Add citation now

  66. [70] Woerner J. (2002) Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models, Discussion Paper, Oxford University.

  67. [8] Andreou, E. and E. Ghysels (2003b), Tests for breaks in the conditional co-movements of asset returns, Statistica Sinica, 13, 1045-1074.

  68. [9] Andrews, D. W. K. (1991), Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica, 59, 817-858.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty.
    In: Papers.
    RePEc:arx:papers:1912.10237.

    Full description at Econpapers || Download paper

  2. Day trading and stock price volatility. (2008). Kyrolainen, Petri .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:32:y:2008:i:1:p:75-89.

    Full description at Econpapers || Download paper

  3. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13811.

    Full description at Econpapers || Download paper

  4. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
    In: Discussion Papers.
    RePEc:yor:yorken:07/08.

    Full description at Econpapers || Download paper

  5. Modeling foreign exchange rates with jumps. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-279.

    Full description at Econpapers || Download paper

  6. A Hausman test for Brownian motion. (2007). Sanddorf-Kohle, Walter ; Kloner, Stefan ; Friedmann, Ralph ; Becker, Martin.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:91:y:2007:i:1:p:3-21.

    Full description at Econpapers || Download paper

  7. Volatility Proxies for Discrete Time Models. (2007). Visser, Marcel ; de Vilder, Robin G..
    In: MPRA Paper.
    RePEc:pra:mprapa:4917.

    Full description at Econpapers || Download paper

  8. An empirical model of daily highs and lows. (2007). Cheung, Yin-Wong.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:1:p:1-20.

    Full description at Econpapers || Download paper

  9. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:175.

    Full description at Econpapers || Download paper

  10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

  11. An Empirical Model of Daily Highs and Lows. (2006). Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1695.

    Full description at Econpapers || Download paper

  12. Stochastic volatility forecasting and risk management. (2005). Sadorsky, Perry.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:2:p:121-135.

    Full description at Econpapers || Download paper

  13. Volatility and Irish Exports. (2005). cotter, john ; Bredin, Don.
    In: MPRA Paper.
    RePEc:pra:mprapa:3522.

    Full description at Econpapers || Download paper

  14. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:76.

    Full description at Econpapers || Download paper

  15. Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2005_10.

    Full description at Econpapers || Download paper

  16. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

    Full description at Econpapers || Download paper

  17. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

  18. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

    Full description at Econpapers || Download paper

  19. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10912.

    Full description at Econpapers || Download paper

  20. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10852.

    Full description at Econpapers || Download paper

  21. Stock Market Trading and Market Conditions. (2004). Stulz, René ; Nardari, Federico ; Griffin, John M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10719.

    Full description at Econpapers || Download paper

  22. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_59.

    Full description at Econpapers || Download paper

  23. Alternative estimates of the presidential premium. (2004). Li, Canlin ; Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-69.

    Full description at Econpapers || Download paper

  24. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro ; Hwang, Soosung.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:198.

    Full description at Econpapers || Download paper

  25. The informational content of over-the-counter currency options. (2004). Christoffersen, Peter ; Mazzotta, Stefano .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

    Full description at Econpapers || Download paper

  26. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

    Full description at Econpapers || Download paper

  27. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

  28. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

    Full description at Econpapers || Download paper

  29. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

    Full description at Econpapers || Download paper

  30. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

  31. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

    Full description at Econpapers || Download paper

  32. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

  33. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

  34. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

    Full description at Econpapers || Download paper

  35. Maximum Likelihood Estimation of Latent Affine Processes. (2003). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9673.

    Full description at Econpapers || Download paper

  36. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9664.

    Full description at Econpapers || Download paper

  37. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

    Full description at Econpapers || Download paper

  38. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2003_07.

    Full description at Econpapers || Download paper

  39. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

    Full description at Econpapers || Download paper

  40. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

    Full description at Econpapers || Download paper

  41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

  42. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

    Full description at Econpapers || Download paper

  43. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws025414.

    Full description at Econpapers || Download paper

  44. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3651.

    Full description at Econpapers || Download paper

  45. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

    Full description at Econpapers || Download paper

  46. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

    Full description at Econpapers || Download paper

  47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

    Full description at Econpapers || Download paper

  48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

    Full description at Econpapers || Download paper

  49. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

  50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 03:02:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.