[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Intra-daily FX optimal portfolio allocation. (2006). Bauwens, Luc ; Rengifo, Erick ; ben Omrane, Walid.
In: CORE Discussion Papers.
RePEc:cor:louvco:2006010.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 18

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. Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models. (2016). Bonga-Bonga, Lumengo ; Nleya, Lebogang .
    In: MPRA Paper.
    RePEc:pra:mprapa:75809.

    Full description at Econpapers || Download paper

  2. Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework. (2014). Scholtes, Nicolas ; Braione, Manuela.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2014059.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. ANDERSEN, T. G., AND T. BOLLERSLEV (1997): Intraday Periodicity and Volatility Persistence in Financial Markets, Journal of Empirical Finance, 4, 115-158.

  2. BAUWENS, L., AND S. LAURENT (2005): A New Class of Multivariate Skew Densities, with Application to GARCH Models, Journal of Business and Economic Statistics, 23, 346-354.

  3. BAUWENS, L., S. LAURENT, AND J. ROMBOUTS (2006): Multivariate GARCH Models: A Survey, Journal of Applied Econometrics, forthcoming.

  4. BAUWENS, L., W. BEN OMRANE, AND P. GI0T (2005): News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market, Journal of International Money and Finance, 24, 1108-1125.

  5. BOLLERSLEV, T. (1986): Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 52(4), 5-59.

  6. BOLLERSLEV, T., AND I. DOMOWITZ (1993): Trading patterns and prices in the inter-bank foreign exchange market, The Journal of Finance, 4, 142 1-1443.

  7. CAMPBELL, R., R. HUISMAN, AND K. KOEDIJK (2001): Optimal Portfolio Selection in a Value-at-Risk Framework, Journal of Banking and Finance, 25, 1789-1804.

  8. DANIELSSON, J., AND R. PAYNE (2002): Real trading patterns and prices in the spot foreign exchange markets, Journal of International Money and Finance, 21, 203-222.

  9. ENGLE, R., AND F. KRONER (1995): Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11, 122-150.

  10. ENGLE, R., AND S. MANGANELLI (2004): CAViaR: Conditional Autoregressive Value at Risk by Regression Quantile, Journal of Business and Economic Statistics, 22, 367-381.

  11. GOODHART, C., AND L. FIGLIULI (1991): Every minute counts in financial markets, Journal of International Money and Finance, 10, 23-52.

  12. GOURIEROUX, C., J. JASIAK, AND R. SUFANA (2004): The Wishart Autoregressive Process of Multivarite Stochastic Volatility, Mimeo, CREST, CEPREMAP and University of Toronto.

  13. HANSEN, B. (1994): Autoregressive Conditional Density Estimation, International Economic Review, 35, 705-730.

  14. HUANG, C., AND R. LITZENBERGER (1988): Foundations for Financial Economics. NorthHolland, Amsterdam.
    Paper not yet in RePEc: Add citation now

  15. KUPIEC, P. (1995): Techniques for Verifying the Accuracy of Risk Measurement Models, The Journal of Derivatives.

  16. La, A., AND A. MACKINLAY (1990): An econometric analysis of nonsynchronous trading, Journal of Econometrics, 45, 181-211.

  17. MITTNIK, S., AND M. PAOLELLA (2000): Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates, Journal of Forecasting, 19, 313-333.
    Paper not yet in RePEc: Add citation now

  18. RENGIFO, E., AND J. ROMBOUTS (2004): Dynamic Optimal Portfolio Selection in a VaR Framework, Working paper, Center of Operactions Research and Econometrics, Catholic University of Louvain.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission. (2007). Zaghini, Andrea ; Colarossi, Silvio .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200716.

    Full description at Econpapers || Download paper

  2. The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility. (2007). TUYSUZ, Sukriye.
    In: MPRA Paper.
    RePEc:pra:mprapa:5381.

    Full description at Econpapers || Download paper

  3. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12953.

    Full description at Econpapers || Download paper

  4. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200620.

    Full description at Econpapers || Download paper

  5. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12682.

    Full description at Econpapers || Download paper

  6. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12413.

    Full description at Econpapers || Download paper

  7. The impact of monetary policy signals on the intradaily Euro-dollar volatility.. (2006). Mokhtar, Darmoul .
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:bla06049.

    Full description at Econpapers || Download paper

  8. Intraday Linkages Across International Equity Markets. (2006). Harju, Kari ; Hussain, Syed Mujahid.
    In: Working Papers.
    RePEc:hhb:hanken:0516.

    Full description at Econpapers || Download paper

  9. Intraday Seasonalities and Macroeconomic News Announcements. (2006). Harju, Kari ; Hussain, Mujahid.
    In: Working Papers.
    RePEc:hhb:hanken:0512.

    Full description at Econpapers || Download paper

  10. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

  11. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Luc, Bauwens ; Erick, RENGIFO ; Walid, BEN OMRANE.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006005.

    Full description at Econpapers || Download paper

  12. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES. (2005). Matringe, Olivier ; Guida, Tony.
    In: Finance.
    RePEc:wpa:wuwpfi:0512021.

    Full description at Econpapers || Download paper

  13. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501015.

    Full description at Econpapers || Download paper

  14. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH. (2005). Engle, Robert ; Chanda, Ananda ; Sokalska, Magdalena E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:409.

    Full description at Econpapers || Download paper

  15. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

  16. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

  17. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412006.

    Full description at Econpapers || Download paper

  18. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. (2004). Ito, Takatoshi ; Hashi, Yuko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10856.

    Full description at Econpapers || Download paper

  19. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-7.

    Full description at Econpapers || Download paper

  20. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-5.

    Full description at Econpapers || Download paper

  21. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

    Full description at Econpapers || Download paper

  22. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

  23. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:487.

    Full description at Econpapers || Download paper

  24. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:273.

    Full description at Econpapers || Download paper

  25. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2005015.

    Full description at Econpapers || Download paper

  26. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0301003.

    Full description at Econpapers || Download paper

  27. k -Factor GARMA models for intraday volatility forecasting. (2003). Lisi, Francesco ; Bisaglia, Luisa ; Bordignon, Silvano .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:4:p:251-254.

    Full description at Econpapers || Download paper

  28. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

  29. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

  30. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

  31. Central bank talk: does it matter and why?. (2003). Sack, Brian P. ; Kohn, Donald L..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-55.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  33. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

  34. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

    Full description at Econpapers || Download paper

  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

    Full description at Econpapers || Download paper

  36. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. (2001). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-49.

    Full description at Econpapers || Download paper

  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

    Full description at Econpapers || Download paper

  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

    Full description at Econpapers || Download paper

  39. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

  40. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

    Full description at Econpapers || Download paper

  41. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

    Full description at Econpapers || Download paper

  42. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

    Full description at Econpapers || Download paper

  43. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

  44. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

    Full description at Econpapers || Download paper

  45. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

  46. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-05.

    Full description at Econpapers || Download paper

  47. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6845.

    Full description at Econpapers || Download paper

  48. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. (1998). Bollerslev, Tim ; Das, Ashish ; Anderson, Torben G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6666.

    Full description at Econpapers || Download paper

  49. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-14.

    Full description at Econpapers || Download paper

  50. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6023.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-15 00:11:12 || 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.