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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 100 (2001)
Issue (Month): 1 (January)
Pages: 41-51
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Handle: RePEc:eee:econom:v:100:y:2001:i:1:p:41-51

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1. Kenedy Alva & Juan Romo & Esther Ruiz, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," Statistics and Econometrics Working Papers ws092809, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
2. Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424. [Downloadable!]
3. Aradhyula, Satheesh & Ergun, A. Tolga, 2002. "Trading Collar, Intraday, Periodicity, And Stock Market Volatility," 2002 Annual meeting, July 28-31, Long Beach, CA 19630, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
4. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
   Other versions:
   • Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December. [Downloadable!] (restricted)
5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]

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