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Citations of
Robert F. Engle

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:

    Cited by:

    1. Cavait Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Series Working Papers 458, University of Oxford, Department of Economics. [Downloadable!]

  2. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

    Cited by:

    1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    2. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics. [Downloadable!]

  3. Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
    2. Sasha Stoikov & Mehmet Sağlam, 2009. "Option market making under inventory risk," Review of Derivatives Research, Springer, vol. 12(1), pages 55-79, April. [Downloadable!] (restricted)

  4. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
      Other versions:
    2. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    3. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    4. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    5. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

  5. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank, Research Department. [Downloadable!]

    Cited by:

    1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    2. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    3. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    4. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    5. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    6. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," Working Paper Series in Economics and Finance 691, Stockholm School of Economics. [Downloadable!]
      Other versions:
    7. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation, Yale University, revised Nov 2006. [Downloadable!]
      Other versions:
    8. SUCARRAT, Genaro, 2006. "The first stage in HendryÕs reduction theory revisited," CORE Discussion Papers 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    9. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research. [Downloadable!]
    10. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research. [Downloadable!]
    11. Genaro, SUCARRAT, 2006. "The First Stage in HendryÕs Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]

  6. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics. [Downloadable!]

    Cited by:

    1. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January. [Downloadable!] (restricted)
      Other versions:

  7. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
      Other versions:
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    4. Yin-wong Cheung, 2006. "An Empirical Model of Daily Highs and Lows," Working Papers 072006, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    5. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    7. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    8. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    9. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    10. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," CFS Working Paper Series 2005/02, Center for Financial Studies. [Downloadable!]
      Other versions:
    11. Robin G. de Vilder & Marcel P. Visser, 2007. "Proxies for daily volatility," PSE Working Papers 2007-11, PSE (Ecole normale supérieure). [Downloadable!]
    12. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    13. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009. "Semiparametric vector MEM," Econometrics Working Papers Archive wp2009_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    14. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    15. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics. [Downloadable!]
    16. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    17. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany. [Downloadable!]
    18. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    19. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
      Other versions:
    21. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    22. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44. [Downloadable!]
    23. Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    24. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    25. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    26. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago. [Downloadable!]
    27. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    28. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany. [Downloadable!]

  8. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee. [Downloadable!]
    Published as:

    Cited by:

    1. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183. [Downloadable!]
    2. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November. [Downloadable!] (restricted)
    3. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association. [Downloadable!]
    4. Liuren Wu & Frank Xiaoling Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Lucjan T. Orlowski, 2005. "Targeting Relative Inflation Forecast as Monetary Policy Framework for Adopting the Euro," William Davidson Institute Working Papers Series wp754, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    6. Leon Bettendorf & Stephanie van der Geest & Gerard Kuper, 2005. "Do Daily Retail Gasoline Prices adjust Asymmetrically?," Tinbergen Institute Discussion Papers 05-040/2, Tinbergen Institute. [Downloadable!]
      Other versions:
    7. William Poole, 2005. "GSE Risks," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 85-91. [Downloadable!]
      Other versions:
      • William Poole, 2005. "GSE risks," Speech, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," CFS Working Paper Series 2005/02, Center for Financial Studies. [Downloadable!]
      Other versions:
    9. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April. [Downloadable!]
    10. Cristina Belciuganu, 2009. "Spillover effect: A study for major capital markets and Romania capital market," Advances in Economic and Financial Research - DOFIN Working Paper Series 29, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
    11. Gene Amromin & Steven A. Sharpe, 2005. "From the horse's mouth: gauging conditional expected stock returns from investor surveys," Finance and Economics Discussion Series 2005-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    12. Jordaan, H. & Grove, B. & Jooste, A. & Alemu, A.G., 2007. "Measuring the Price Volatility of Certain Field Crops in South Africa using the ARCH/GARCH Approach," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 46(3), September. [Downloadable!]
    13. Lucjan T. Orlowski & Kirsten Lommatzsch, 2005. "Bond Yield Compression in the Countries Converging to the Euro," William Davidson Institute Working Papers Series wp799, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    14. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
    15. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany. [Downloadable!]

  9. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
    Published as:

    Cited by:

    1. Elias Papaioannou & Richard Portes & Gregorios Siourounis, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," NBER Working Papers 12333, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank. [Downloadable!]
    3. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," The School of Economics Discussion Paper Series 0515, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    4. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November. [Downloadable!] (restricted)
    5. Chulia-Soler, H. & Martens, M.P.E. & Dijk, D.J.C. van, 2007. "The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations," Research Paper ERS-2007-066-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    6. Ángel León & Juan Nave & Gonzalo Rubio, 2005. "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers 200508, University of the Basque Country - Department of Foundations of Economic Analysis II, revised 04 Jul 2006. [Downloadable!]
    7. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
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    8. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO. [Downloadable!]
    9. Balázs Égert & Evžen Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    10. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements. [Downloadable!]
    11. Pilar Abad & Helena Chuliá & Marta Gomez-Puig, 2009. "EMU and European Government Bond Market Integration," Working Paper Series 1079, European Central Bank. [Downloadable!]
    12. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    13. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    14. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006. [Downloadable!]
    15. Khaled Amira & Abderrahim Taamouti & Georges Tsafack, 2009. "What Drives International Equity Correlations? Volatility or Market Direction?," Economics Working Papers we094122, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    16. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger. [Downloadable!]
    17. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
    18. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance 0509002, EconWPA. [Downloadable!]
    19. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany. [Downloadable!]
    20. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004. [Downloadable!]
    21. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]
    22. Christos Savva & Denise R Osborn & Len Gill, 2005. "Volatility, spillover Effects and Correlations in US and Major European Markets," Money Macro and Finance (MMF) Research Group Conference 2005 23, Money Macro and Finance Research Group. [Downloadable!]
    23. Heiko Hesse & Nathaniel Frank, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," IMF Working Papers 09/104, International Monetary Fund. [Downloadable!]
    24. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    25. M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    26. Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    27. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
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    28. Francesco Paolo Mongelli & Juan Luis Vega, 2006. "What effects is EMU having on the euro area and its member countries? An overview," Working Paper Series 599, European Central Bank. [Downloadable!]
    29. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
    30. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006. [Downloadable!]
    31. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, School of Economics and Management, University of Aarhus. [Downloadable!]
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    32. Colm Kearney & Valerio Poti, 2006. "Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," The Institute for International Integration Studies Discussion Paper Series iiisdp132, IIIS. [Downloadable!]
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    33. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
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    34. Roel Beetsma & Koen Vermeylen, 2005. "The Effect of Monetary Unification on Public Debt and its Real Return," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    35. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
    36. Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester. [Downloadable!]
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    37. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    38. Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger. [Downloadable!]
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    39. Carsten Detken & Vítor Gaspar & Bernhard Winkler, 2004. "On prosperity and posterity: the need for fiscal discipline in a monetary union," Working Paper Series 420, European Central Bank. [Downloadable!]
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    40. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]
    41. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    42. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS. [Downloadable!]
    43. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany. [Downloadable!]
    44. Caiado, Jorge & Crato, Nuno, 2009. "Identifying common dynamic features in stock returns," MPRA Paper 15240, University Library of Munich, Germany. [Downloadable!]
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    45. Michael Kühl, 2009. "Excess Comovements between the Euro/US dollar and British pound/US dollar exchange rates," cege – Center for European, Governance and Economic Development Research Discussion Papers 89, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 18 Nov 2009. [Downloadable!]
    46. Charlotte Christiansen, 2007. "Decomposing European Bond and Equity Volatility," CREATES Research Papers 2007-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    47. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    48. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger. [Downloadable!]
    49. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)
    50. Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany. [Downloadable!]
    51. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    52. Andre A. P. & Francisco J. Nogales & Esther Ruiz, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," Statistics and Econometrics Working Papers ws097222, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    53. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS. [Downloadable!]
    54. Francis Vitek, 2005. "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance 0508014, EconWPA. [Downloadable!]

  10. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
    Published as:

    Cited by:

    1. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
    2. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York. [Downloadable!]
    3. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Craig Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago. [Downloadable!]

  11. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic learning in coordination games: a simulation approach," Quaderni DISA 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 29 Jun 2003. [Downloadable!]
      Other versions:
    3. Wolfgang Aussenegg & Tatiana Miazhynskaia, 2006. "Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 243-264, September. [Downloadable!] (restricted)
    4. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
    5. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile. [Downloadable!]
    6. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    7. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers 0607, University of Crete, Department of Economics. [Downloadable!]
    8. Gonzales-Martínez, Rolando, 2009. "La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano
      [Liquidity Risk       ," MPRA Paper 14247, University Library of Munich, Germany. [Downloadable!]
    9. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
    10. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    11. Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing Value-at-Risk Methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    12. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics. [Downloadable!]
    13. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA. [Downloadable!]
    14. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    15. Quan Gan & Robert J. Hill, 2008. "Measuring Housing Affordability: Looking Beyond the Median," Discussion Papers 2008-09, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:

  12. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Elias Papaioannou & Richard Portes & Gregorios Siourounis, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," NBER Working Papers 12333, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November. [Downloadable!] (restricted)
    3. Roland Gillet & Ariane Szafarz, 2004. "Marchés financiers et anticipations rationnelles," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(2), pages 7-17. [Downloadable!]
      Other versions:
    4. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association. [Downloadable!]
    5. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
      Other versions:
    6. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
      Other versions:
    7. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics. [Downloadable!]
      Other versions:
    8. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
    9. Balázs Égert & Evžen Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    10. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements. [Downloadable!]
    11. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    12. Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 2008.7, East Asian Bureau of Economic Research. [Downloadable!]
    13. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA. [Downloadable!]
      Other versions:
    14. Colavecchio , Roberta & Funke, Michael, 2006. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," BOFIT Discussion Papers 16/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
      Other versions:
    15. Vargas, Gregorio A., 2006. "An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model," MPRA Paper 189, University Library of Munich, Germany, revised Aug 2006. [Downloadable!]
    16. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    17. Edoardo Otranto, 2008. "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS 200801, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
      Other versions:
    18. Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics. [Downloadable!]
    19. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
      [Testing the contagion hypotheses using multivariate volatility models]      ," MPRA Paper 10356, University Library of Munich, Germany. [Downloadable!]
    20. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics. [Downloadable!]
    21. Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    22. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005. [Downloadable!]
      Other versions:
    23. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    24. Djamel Kirat & Ibrahim Ahamada, 2009. "The impact of the European Union Emission Trading Scheme on electricity generation sectors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00378317_v1, HAL. [Downloadable!]
    25. Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association. [Downloadable!]
    26. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    27. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    28. Ming-Chih Lee & Jer-Shiou Chiou & Cho-Min Lin, 2006. "A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 183-188, May. [Downloadable!] (restricted)
    29. Matteo M. Pelagatti & Stefania Rondena, 2005. "Dynamic Conditional Correlation with Elliptical Distributions," Econometrics 0503007, EconWPA. [Downloadable!]
    30. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
      Other versions:
    31. Jonathan Dark, 2004. "Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model," Monash Econometrics and Business Statistics Working Papers 7/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    32. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    33. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
    34. Monica Billio & Massimiliano Caporin & Michele Gobbo, 2006. "Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 123-130, March. [Downloadable!] (restricted)
    35. Guang Yang, 2009. "Local government expenditure, RBC model and regional business cycle in China-Take Tianjin for example," Frontiers of Economics in China, Springer, vol. 4(4), pages 588-600, December. [Downloadable!] (restricted)
    36. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006. [Downloadable!]
    37. C.M. Hafner & P.H. Franses, 2003. "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Report 323, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    38. Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    39. Yongseok Shin & Rachel Glennerster, 2003. "Is Transparency Good for You, and Can the IMF Help?," IMF Working Papers 03/132, International Monetary Fund. [Downloadable!]
    40. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    41. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority. [Downloadable!]
    42. Pereira, Pedro L. Valls, 2009. "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussão 174, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    43. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003. [Downloadable!]
    44. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    45. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
      Other versions:
    46. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
    47. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    48. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany. [Downloadable!]
    49. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    50. Minford, Patrick & Theodoridis, Konstantinos & Meenagh, David, 2007. "Testing a model of the UK by the method of indirect inference," Cardiff Economics Working Papers E2007/2, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2008. [Downloadable!]
      Other versions:
    51. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    52. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    53. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
    54. Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:
    55. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    56. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    57. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]
    58. Cavait Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Series Working Papers 458, University of Oxford, Department of Economics. [Downloadable!]
    59. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany. [Downloadable!]
    60. Michael Kühl, 2009. "Excess Comovements between the Euro/US dollar and British pound/US dollar exchange rates," cege – Center for European, Governance and Economic Development Research Discussion Papers 89, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 18 Nov 2009. [Downloadable!]
    61. Colm Kearney & Valerio Poti, 2005. "Correlation Dynamics in European Equity Markets," Finance 0507008, EconWPA. [Downloadable!]
      Other versions:
    62. Jorge Pérez-Rodríguez, 2006. "The Euro and Other Major Currencies Floating Against the U.S. Dollar," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(4), pages 367-384, December. [Downloadable!] (restricted)
    63. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    64. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November. [Downloadable!] (restricted)
    65. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority. [Downloadable!]
    66. Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    67. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor and Francis Journals, vol. 15(14), pages 995-1005, October. [Downloadable!] (restricted)
    68. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland. [Downloadable!]
    69. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department. [Downloadable!]
      Other versions:
    70. Manolis Syllignakis & Georgios Kouretas, 2006. "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series wp832, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    71. Andre A. P. & Francisco J. Nogales & Esther Ruiz, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," Statistics and Econometrics Working Papers ws097222, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    72. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS. [Downloadable!]
    73. Filip Iorgulescu, 2009. "Value at Risk: A Comparative Analysis," Advances in Economic and Financial Research - DOFIN Working Paper Series 25, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
    74. Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Working Papers 0419, Department of Economics, Vanderbilt University, revised Sep 2004. [Downloadable!]

  13. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

    Cited by:

    1. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2003. "Limit Order Book as a Market for Liquidity," Discussion Paper Series dp321, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
      Other versions:
    2. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics. [Downloadable!]
    4. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    5. Andros Gregoriou, 2007. "The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange," Money Macro and Finance (MMF) Research Group Conference 2006 76, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    6. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
      Other versions:
    7. Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January. [Downloadable!] (restricted)
    8. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," Boston College Working Papers in Economics 693, Boston College Department of Economics. [Downloadable!]
      Other versions:
    9. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007. [Downloadable!]
    10. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise and Informational Volatility," ECARES Working Papers 2010_004, Université Libre de Bruxelles, Ecares. [Downloadable!]
    11. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility," SFB 649 Discussion Papers SFB649DP2010-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    12. Chor-yiu SIN, 2004. "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings 476, Econometric Society. [Downloadable!]
    13. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
    14. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33. [Downloadable!]
    15. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    16. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    17. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    18. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  14. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Published as:

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July. [Downloadable!] (restricted)
    3. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    5. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    6. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements. [Downloadable!]
    7. Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005. "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics 159, Göteborg University, Department of Economics. [Downloadable!]
    8. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    9. Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics. [Downloadable!]
    10. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta). [Downloadable!]
    11. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Quantitative Finance Papers math/0310223, arXiv.org. [Downloadable!]
    12. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
    13. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA. [Downloadable!]
    14. Joshua Rosenberg, 1999. "Implied Volatility Functions: A Reprise," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-027, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    15. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
      Other versions:
    16. Günter Franke & Erik Lüders, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Paper 04-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    17. Geert Bekaert & Marie Hoerova & Martin Scheicher, 2009. "What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?," Working Paper Series 1037, European Central Bank. [Downloadable!]
    18. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July. [Downloadable!] (restricted)
      Other versions:
    19. Günter Franke & Erik Lüders, 2005. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model," CoFE Discussion Paper 05-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    20. Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano, 2006. "GARCH Options in Incomplete Markets," CEI Working Paper Series 2005-12, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    21. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]
    22. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus. [Downloadable!]
    23. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    24. Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Günter Franke & Erik Lüders, 2006. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤," CoFE Discussion Paper 06-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    26. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    27. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA. [Downloadable!]
      Other versions:
    28. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    29. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    30. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 479-488, April. [Downloadable!] (restricted)
    31. Jan Brůha & Alexis Derviz, 2006. "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 318-343, July. [Downloadable!]
    32. Paolo Guasoni, 2004. "Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market," Temi di discussione (Economic working papers) 507, Bank of Italy, Economic Research Department. [Downloadable!]
    33. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    34. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June. [Downloadable!]
      Other versions:
    35. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    36. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de España Working Papers 0630, Banco de España. [Downloadable!]
    37. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    38. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
    39. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
    40. Yuri Golubev & Wolfgang Härdle & Roman Timonfeev, 2008. "Testing Monotonicity of Pricing Kernels," SFB 649 Discussion Papers SFB649DP2008-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    41. Gollier, Christian, 2009. "Does Ambiguity Aversion Reinforce Risk Aversion? Applications to Portfolio Choices and Asset Pricing," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    42. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356_v1, HAL. [Downloadable!]
      Other versions:
    43. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2005. "Testing the forecasting performace of IBEX 35 option implied risk neutral densities," Banco de España Working Papers 0504, Banco de España. [Downloadable!]
    44. Lüders, Erik & Schröder, Michael, 2004. "Modeling Asset Returns : A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    45. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA. [Downloadable!]
    46. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
      Other versions:
    47. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    48. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    49. Peter Christoffersen & Kris Jacobs, 2001. "The Importance of the Loss Function in Option Pricing," CIRANO Working Papers 2001s-45, CIRANO. [Downloadable!]
    50. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO. [Downloadable!]
    51. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank, Research Department. [Downloadable!]
    52. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
    53. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    54. Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers SFB649DP2010-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    55. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
    56. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]

  15. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University. [Downloadable!]

    Cited by:

    1. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
      Other versions:
    2. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    3. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    4. Frank Gerhard & Nikolaus Hautsch, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
      Other versions:
    5. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    6. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    7. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    8. James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
    10. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    11. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]

  16. Robert F. Engle, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series 2000-09, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Beine,M. & Palm,F.C. & Laurent,S., 2003. "Central Bank Forex Interventions Assessed Using Realized Moments," Research Memoranda 057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    2. Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    3. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    4. Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004. "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers 2004.71, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    5. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics 0338, Faculty of Economics, University of Cambridge. [Downloadable!]
    6. Heathcote, Jonathan & Perri, Fabrizio, 2002. "Financial Globalization and Real Regionalization," CEPR Discussion Papers 3268, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
      Other versions:
    8. Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO. [Downloadable!]
      Other versions:
    10. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
      Other versions:
    11. Simone Manganelli & Vladimiro Ceci & Walter Vecchiato, 2002. "Sensitivity analysis of volatility - a new tool for risk management," Working Paper Series 194, European Central Bank. [Downloadable!]
    12. Filip Iorgulescu, 2009. "Value at Risk: A Comparative Analysis," Advances in Economic and Financial Research - DOFIN Working Paper Series 25, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
    13. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]

  17. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 99-05, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    2. Olan T. Henry & Michael McKenzie, 2004. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," Working Papers 032004, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    3. João Amaro de Matos & Paula Antão, 2001. "Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-7. [Downloadable!]
    4. João Amaro De Matos & Paula Antão, 2003. "Market illiquidity and bounds on European option prices," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 475-498, October. [Downloadable!] (restricted)
    5. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research. [Downloadable!]
    6. Matos, Joao Amaro de & Antao, Paula, 2000. "Market Illiquidity and the Bid-Ask Spread of Derivatives," FEUNL Working Paper Series wp386, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]

  18. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]
    2. Rossi, Eduardo & Spazzini, Filippo, 2008. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper 12260, University Library of Munich, Germany. [Downloadable!]
    3. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Documents de Travail 82, Banque de France. [Downloadable!]
    4. J. David Cummins & David Lalonde & Richard D. Phillips, 2000. "The Basis Risk of Catastrophic-Loss Index Securities," Center for Financial Institutions Working Papers 00-22, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    5. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
    6. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    7. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston. [Downloadable!]

  19. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series 99-20, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Gilbert W. Bassett Jr & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    3. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank. [Downloadable!]
    4. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November. [Downloadable!] (restricted)
    5. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    6. Pesaran, B. & Pesaran, M.H., 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics 0734, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    7. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456. [Downloadable!]
    8. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series /2003/463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
      Other versions:
    9. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) 09-05, CREFI-LSF, University of Luxembourg. [Downloadable!]
      Other versions:
    10. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
    11. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    13. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    14. Giuseppe Arbia, 2000. "Estimation Of Market Risk In Case Of Non-Gaussian Asset'S Returns," Departmental Working Papers 133, Tor Vergata University, CEIS. [Downloadable!]
    15. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    16. Bahram Pesaran & M. Hashem Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    17. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    18. Herwartz, Helmut, 2008. "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers 2008,16, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    19. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," CORE Discussion Papers 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    20. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    21. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Boston College Working Papers in Economics 691, Boston College Department of Economics. [Downloadable!]
    22. Raffaella Giacomini & Ivana Komunjer, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series 2002-11, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    23. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics. [Downloadable!]
    24. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall. [Downloadable!] (restricted)
    25. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
      Other versions:
    26. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    27. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers 1679, Cowles Foundation, Yale University. [Downloadable!]
    28. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    29. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE. [Downloadable!]
      Other versions:
    30. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    31. Andrew J. Patton, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series 2001-09, Department of Economics, UC San Diego. [Downloadable!]
    32. Peter Christoffersen & Sílvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO. [Downloadable!]
    33. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    34. Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    35. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    36. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
    37. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics. [Downloadable!]
    38. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
      Other versions:
    39. Laurini, Márcio P. & Furlani, Luiz Gustavo C. & Portugal, Marcelo S., 2007. "Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência," Ibmec Working Papers wpe_89, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    40. Antonio F. Galvao, Jr. & Gabriel V. Montes-Rojas & Gabriel Sung Y. Park, 2009. "Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns," City University Economics Discussion Papers 09/04, Department of Economics, City University, London. [Downloadable!]
    41. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    42. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," ECARES Working Papers 2008_009, Université Libre de Bruxelles, Ecares. [Downloadable!]
    43. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge. [Downloadable!]
    44. Lima, Luiz Renato Regis de Oliveira & Neri, Breno de Andrade Pinheiro, 2006. "Comparing Value-at-Risk Methodologies," Economics Working Papers (Ensaios Economicos da EPGE) 629, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    45. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    46. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    47. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2009. "Evaluating Value-at-Risk models via Quantile Regression," Economics Working Papers we094625, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    48. Wei-Ting Tang & Yin-Feng Gau, 2004. "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings 715, Econometric Society. [Downloadable!]
    49. Simone Manganelli, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank. [Downloadable!]
    50. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    51. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    52. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics. [Downloadable!]
    53. Andre A. P. & Francisco J. Nogales & Esther Ruiz, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," Statistics and Econometrics Working Papers ws097222, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    54. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]
    55. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  20. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Virginia Liu & Francis Tapon & Yiguo Sun, 2006. "Stock return volatility and the internet phenomenon," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 105-109, March. [Downloadable!] (restricted)
    3. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics. [Downloadable!]
    4. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics. [Downloadable!]
    5. José L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Working Papers Series 126, Central Bank of Brazil, Research Department. [Downloadable!]
    6. Charles S. Bos & Phillip Gould, 2007. "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers 07-025/4, Tinbergen Institute. [Downloadable!]
    7. Jose L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Business Economics Working Papers wb062808, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    8. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO. [Downloadable!]
      Other versions:

  21. Alfonso Dufour & Robert F. Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 99-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
      Other versions:
    2. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
    3. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    4. Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Spierdijk, L., 2002. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Discussion Paper 30, Tilburg University, Center for Economic Research. [Downloadable!]
    7. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    8. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    9. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    10. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York. [Downloadable!]
    11. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    12. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," UmeÃ¥ Economic Studies 688, Umeå University, Department of Economics. [Downloadable!]
    13. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    14. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society. [Downloadable!]
    15. Robert Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 1998-07, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    16. Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January. [Downloadable!] (restricted)
    17. Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 2007.12, East Asian Bureau of Economic Research. [Downloadable!]
    18. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago. [Downloadable!]
    19. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March. [Downloadable!] (restricted)
    20. Ingrid Lo & Stephen G. Sapp, 2006. "A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market," Working Papers 06-8, Bank of Canada. [Downloadable!]
    21. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
    22. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
    23. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany. [Downloadable!]
    24. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    25. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    26. Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York. [Downloadable!]
    27. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," UmeÃ¥ Economic Studies 689, Umeå University, Department of Economics. [Downloadable!]
    28. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    29. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    30. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    31. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    32. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
    33. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
      Other versions:
    34. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]
    35. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
      Other versions:
    36. Tambakis, D.N., 2008. "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics 0847, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    37. Craig Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago. [Downloadable!]
    38. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  22. Li Li & Robert F. Engle, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series 98-27, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    2. Eugene Durenard & David Veredas, 2002. "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers 2002s-03, CIRANO. [Downloadable!]
      Other versions:
    3. Goeij, P. de & Marquering, W.A., 2002. "Do Macroeconomic Announcements Cause Asymetric Volatility?," Research Paper ERS-2002-103-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    4. Chen, Kim Heng & Han, Li-Ming, 2006. "Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts," Review of Applied Economics, Review of Applied Economics, vol. 2(1). [Downloadable!]
    5. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany. [Downloadable!]
    6. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March. [Downloadable!]
    7. Balli, Faruk, 2008. "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper 10162, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    8. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
      Other versions:
    9. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    10. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 185-207, December. [Downloadable!] (restricted)
    11. David Veredas, 2006. "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, vol. 30(4), pages 843-866, January. [Downloadable!] (restricted)
    12. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    14. Marcelo Reyes, 2005. "Large Term Structure Movements in a Factor Model Framework," Working Papers Central Bank of Chile 341, Central Bank of Chile. [Downloadable!]
    15. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
    16. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)
    17. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    18. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  23. Robert F. Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 98-07, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Spierdijk, L., 2002. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Discussion Paper 30, Tilburg University, Center for Economic Research. [Downloadable!]
    3. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    4. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    5. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    6. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "Modeling comovements in trading intensities to distinguish sector and stock specific news," Discussion Paper 69, Tilburg University, Center for Economic Research. [Downloadable!]
    7. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    8. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March. [Downloadable!] (restricted)
    9. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    10. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
    11. GRAMMIG, Joachim & HEINEN, AndrŽas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," CORE Discussion Papers 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    12. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
    13. Ola Simonsen, 2007. "An empirical model for durations in stocks," Annals of Finance, Springer, vol. 3(2), pages 241-255, March. [Downloadable!] (restricted)
    14. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA. [Downloadable!]
      Other versions:
    15. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    16. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    17. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    18. Erick Rengifo & Andresas Heinen, 2004. "Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas," Econometric Society 2004 Far Eastern Meetings 755, Econometric Society. [Downloadable!]
    19. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
    20. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
    21. Simonsen, Ola, 2005. "An Empirical Model for Durations in Stocks," UmeÃ¥ Economic Studies 657, Umeå University, Department of Economics. [Downloadable!]

  24. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series 98-10, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    3. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society. [Downloadable!]
    4. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society. [Downloadable!]
    5. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  25. Robert F. Engle & Aaron D. Smith, 1998. "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series 98-03, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October. [Downloadable!] (restricted)
    2. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October. [Downloadable!] (restricted)
    3. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
      Other versions:
    4. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics. [Downloadable!]
    5. Smith, Aaron, 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    6. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    7. Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods and Applications, Springer, vol. 18(4), pages 543-553, November. [Downloadable!] (restricted)
    8. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    9. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
      Other versions:
    10. Brian Goff, 2005. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 122(3), pages 483-499, March. [Downloadable!] (restricted)
    11. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. [Downloadable!]
    12. Brian Goff, 2006. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 127(3), pages 367-383, June. [Downloadable!] (restricted)
    13. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Springer, vol. 31(3), pages 225-241, April. [Downloadable!] (restricted)
    14. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society. [Downloadable!]
    15. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-425, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    16. N. Hyung & P.H.B.F. Franses, 2001. "Structural breaks and long memory in US inflation rates," Econometric Institute Report 221, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    17. Oscar Martinez & Jose Olmo, 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," City University Economics Discussion Papers 08/08, Department of Economics, City University, London. [Downloadable!]
    18. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    19. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    20. Wei Liu & Alex S. Maynard, 2007. "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
    21. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics. [Downloadable!]
    22. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute. [Downloadable!]
    23. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Boston University - Department of Economics - Working Papers Series WP2006-015, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    24. N. Hyung & P.F. Franses, 2002. "Inflation rates," Econometric Institute Report 261, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    25. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    26. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics. [Downloadable!]
    27. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    28. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    29. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610_v1, HAL. [Downloadable!]
    30. González Gómez, Andrés, 2004. "A smooth permanent surge process," Working Paper Series in Economics and Finance 572, Stockholm School of Economics. [Downloadable!]

  26. Patrick Burns & Robert Engle & Joseph Mezrich, 1998. "Correlations and Volatilities of Asynchronous Data," University of California at San Diego, Economics Working Paper Series 97-30r, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
    2. Pilar Abad & Helena Chuliá & Marta Gomez-Puig, 2009. "EMU and European Government Bond Market Integration," Working Paper Series 1079, European Central Bank. [Downloadable!]
    3. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
    4. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics. [Downloadable!]
    5. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June. [Downloadable!]
      Other versions:
    6. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    7. Charlotte Christiansen, 2007. "Decomposing European Bond and Equity Volatility," CREATES Research Papers 2007-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    8. Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    9. Christiansen, Charlotte, 2003. "Volatility-Spillover E ffects in European Bond Markets," Finance Working Papers 03-8, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    10. Robert-Paul Berben & W. Jos Jansen, 2003. "Comovement in international equity markets: A sectoral view," Finance 0310001, EconWPA. [Downloadable!]
      Other versions:
    11. Giampiero M. Gallo, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Volatility," Econometrics Working Papers Archive wp2001_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:

  27. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," University of California at San Diego, Economics Working Paper Series 97-20, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Guidolin, Massimo & Timmermann, Allan G, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404. [Downloadable!]
      Other versions:
    3. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA. [Downloadable!]
      Other versions:

  28. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," University of California at San Diego, Economics Working Paper Series 97-12r, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    2. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    3. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE. [Downloadable!]
      Other versions:

  29. Robert F. Engle & Yin-Feng Gau, 1997. "Conditional Volatility of Exchange Rates Under a Target Zone," University of California at San Diego, Economics Working Paper Series 97-06, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Jarko Fidrmuc & Roman Horváth, 2006. "Credibility of Exchange Rate Policies in Selected EU New Members: Evidence from High Frequency Data," Working Papers IES 2006/28, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2006. [Downloadable!]
    2. Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS. The Post 1993 Experience," WIFO Working Papers 168, WIFO. [Downloadable!]
      Other versions:
    3. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," CORE Discussion Papers 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    4. Nikiforos T. Laopodis, 2001. "Time-Varying Behavior And Asymmetry In Ems Exchange Rates," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 81-94, December. [Downloadable!] (restricted)
    5. Joseph D. ALBA & Donghyun PARK, 2004. "Granger Causality Among Pre-Crisis East Asian Exchange Rates," Econometric Society 2004 Far Eastern Meetings 697, Econometric Society. [Downloadable!]
    6. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
    7. Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," Economics Working Papers (Ensaios Economicos da EPGE) 630, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:

  30. Robert F. Engle, 1996. "The Econometrics of Ultra-High Frequency Data," University of California at San Diego, Economics Working Paper Series 96-15, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Robert Engle & Andrew Patton, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series 2000-26, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    2. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    3. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    4. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582. [Downloadable!]
    5. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    6. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    7. Alvaro Cartea & Thilo Meyer-Brandis, 2007. "How Does Duration Between Trades of Underlying Securities Affect Option Prices," Birkbeck Working Papers in Economics and Finance 0721, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    8. Christian M. Hafner, 2000. "Durations, Volume and the Prediction of Financial Returns in Transaction Time," Econometric Society World Congress 2000 Contributed Papers 0599, Econometric Society. [Downloadable!]
    9. Robert Engle & Asger Lunde, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series 1998-07, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    10. Dmitri Koulikov, 2002. "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series 493, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    11. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    12. Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 2007.12, East Asian Bureau of Economic Research. [Downloadable!]
    13. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    14. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    15. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March. [Downloadable!] (restricted)
    16. David Veredas & Juan M. Rodríguez-Poo & Antoni Espasa, 2001. "On The (Intradaily) Seasonality And Dynamics Of A Financial Point Process: A Semiparametric Approach," Statistics and Econometrics Working Papers ws013321, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    17. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455. [Downloadable!]
    18. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series 98-10, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    19. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric duration models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    20. Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    21. 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!]
    22. James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
    24. Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    25. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
    26. Christophe Bisiere & Thierry Kamionka, 2000. "Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse," Annales d'Economie et de Statistique, ADRES, issue 60, pages 04, Octobre-D. [Downloadable!]
    27. Serge Darolles & Christian Gourieroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ADRES, issue 60, pages 10, Octobre-D. [Downloadable!]
    28. Paola Zuccolotto, 2002. "Modelling the impact of open volume on inter-trade autoregressive durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3-4), pages 49-63. [Downloadable!]
    29. Clive W.J. Granger & Yongil Jeon, 1997. "Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance," University of California at San Diego, Economics Working Paper Series 97-24, Department of Economics, UC San Diego. [Downloadable!]
    30. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    31. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
      Other versions:
    32. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
      Other versions:
    33. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    34. Werker, B. & Meddahi, N. & Renault, E., 2003. "Garch and irregularly spaced data," Discussion Paper 27, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    35. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA. [Downloadable!]
      Other versions:
    36. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    37. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08. [Downloadable!] (restricted)
    38. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
    39. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
      Other versions:
    40. Alfonso Dufour & Robert F. Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 99-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    41. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Working Papers 13-2007, Singapore Management University, School of Economics. [Downloadable!]

  31. Robert F. Engle & Jeffrey R. Russell, 1995. "Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model," University of California at San Diego, Economics Working Paper Series 95-33, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    2. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society. [Downloadable!]
    3. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    4. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 5/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    5. Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, EconWPA. [Downloadable!]
      Other versions:
    6. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2004. "Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure," Working Papers 09-2004, Singapore Management University, School of Economics. [Downloadable!]
    8. Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor and Francis Journals, vol. 11(8), pages 495-501, June. [Downloadable!] (restricted)
    9. Michael C. Davis & James D. Hamilton, 2003. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," NBER Working Papers 9741, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series 98-10, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    11. Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    12. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. GIOT, Pierre, 2000. "Intraday value-at-risk," CORE Discussion Papers 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    14. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Far Eastern Meetings 730, Econometric Society. [Downloadable!]
    15. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
    16. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    17. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    18. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
      Other versions:
    19. Wing Lon NG, 2004. "Duration and Order Type Clusters," Econometric Society 2004 Australasian Meetings 272, Econometric Society. [Downloadable!]
    20. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    21. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," Les Cahiers de Recherche 655, HEC Paris. [Downloadable!]
    22. Min-Hsien Chiang, 2007. "A Smooth Transition Autoregressive Conditional Duration Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
    23. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 1/08, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    24. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper 99-19, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:

  32. Robert F. Engle & Jeffrey R. Russell, 1995. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Time Series Data," University of California at San Diego, Economics Working Paper Series 94-27r, Department of Economics, UC San Diego.

    Cited by:

    1. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006. [Downloadable!]
    2. Clive W.J. Granger & Yongil Jeon, 1997. "Measuring Lag Structure in Forecasting Models - the Introduction of Time Distance," University of California at San Diego, Economics Working Paper Series 97-24, Department of Economics, UC San Diego. [Downloadable!]

  33. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," University of California at San Diego, Economics Working Paper Series 95-25, Department of Economics, UC San Diego.
    Other versions:
    • Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    2. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    4. Peter Hans Matthews, 2005. "Paradise lost and found? The econometric contributions of Clive W. J. Granger and Robert F. Engle," Review of Political Economy, Taylor and Francis Journals, vol. 17(1), pages 1-28, January. [Downloadable!] (restricted)
      Other versions:
    5. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    6. Cayetano Gea, CGC, 2007. "Studying the Properties of the Correlation Trades," MPRA Paper 11263, University Library of Munich, Germany. [Downloadable!]

  34. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Dec, pages 21-35. [Downloadable!]
    2. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    4. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
    5. Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    6. Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen. [Downloadable!]
    7. Pilar Corredor Casado & Rafael Santamaría, . "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA. [Downloadable!]
    8. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    9. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    10. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge. [Downloadable!]
    11. Michel LUBRANO, 2001. "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2001032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    12. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    13. Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    14. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 302-321, September. [Downloadable!] (restricted)
    15. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1075-1085, October. [Downloadable!] (restricted)
    16. Pilar Corredor & Rafael Santamaría, 2004. "Forecasting volatility in the Spanish option market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(1), pages 1-11, January. [Downloadable!] (restricted)
    17. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:

  35. Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  36. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006. [Downloadable!]
    2. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO. [Downloadable!]
    3. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    4. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society. [Downloadable!]
    5. Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:

  37. Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," University of California at San Diego, Economics Working Paper Series 93-43, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:

    Cited by:

    1. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Éric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO. [Downloadable!]
      Other versions:
    3. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
    5. Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, EconWPA. [Downloadable!]
      Other versions:
    6. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    7. Michel LUBRANO, 2001. "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2001032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    8. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, EconWPA. [Downloadable!]
    10. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
    11. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 302-321, September. [Downloadable!] (restricted)
    12. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor and Francis Journals, vol. 14(15), pages 1075-1085, October. [Downloadable!] (restricted)
    13. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:

  38. Farshid Vahid & Robert F. Engle, 1993. "Non-Synchronous Common Cycles," University of California at San Diego, Economics Working Paper Series 93-55, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Darren Pain & Ryland Thomas, . "Real Interest Rate Linkages: Testing for Common Trends and Cycles," Bank of England working papers 65, Bank of England. [Downloadable!]

  39. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]

  40. Robert F. Engle & Gary G.J. Lee, 1993. "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," University of California at San Diego, Economics Working Paper Series 93-30, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. John Y. Campbell & Martin Lettau, 1999. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," NBER Working Papers 7144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Robert A. Connolly & Christopher T. Stivers, 2000. "Evidence on the Economics of Equity Return Volatility Clustering," Econometric Society World Congress 2000 Contributed Papers 1575, Econometric Society. [Downloadable!]
    4. Gregory P. Hopper, 1997. "What determines the exchange rate: economic factors or market sentiment?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 17-29. [Downloadable!]

  41. Robert F. Engle & Jo‹o Victor Issler, 1993. "Common Trends and Common Cycles in Latin America," University of California at San Diego, Economics Working Paper Series 93-04, Department of Economics, UC San Diego.

    Cited by:

    1. Jorge Herrera Hernández, 2004. "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 303-323, November. [Downloadable!]
    2. Mejia-Reyes, P., 2004. "Classical Business Cycles in America: Are National Business Cycles Synchronised?," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(3), pages 75-102. [Downloadable!]
    3. Marco Aiolfi & Allan Timmermann & Luis Catão, 2006. "Common Factors in Latin America's Business Cycles," IMF Working Papers 06/49, International Monetary Fund. [Downloadable!]
    4. Igor Alexandre Clemente de Morais & Marcelo Savino Portugal, 2003. "Business Cycle in the Industrial Production of Brazilian States," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] e75, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
      Other versions:

  42. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]

    Cited by:

    1. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Robert F. Engle & Gary G.J. Lee, 1993. "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," University of California at San Diego, Economics Working Paper Series 93-30, Department of Economics, UC San Diego. [Downloadable!]
    4. Jonathan H. Wright & Tim Bollerslev, 1999. "High frequency data, frequency domain inference and volatility forecasting," International Finance Discussion Papers 649, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    5. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
      Other versions:
    6. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    7. Anne Vila Wetherilt, . "Money market operations and volatility of UK money market rates," Bank of England working papers 174, Bank of England. [Downloadable!]
    8. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society. [Downloadable!]
      Other versions:
    9. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    10. Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund. [Downloadable!]
    11. A. Kontonikas, 2002. "Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling," Economics and Finance Discussion Papers 02-28, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    12. Caiado, Jorge, 2004. "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper 2077, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    13. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall. [Downloadable!] (restricted)
    14. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society. [Downloadable!]
    16. Guglielmo maria Coporale & Alexandros Kontonikas, 2006. "The EURO and Inflation Uncertainty In The EMU," Working Papers 2005_13, Department of Economics, University of Glasgow. [Downloadable!]
    17. David G. McMillan & Alan E.H. Speight, 2002. "Temporal aggregation, volatility components and volume in high frequency UK bond futures," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 70-92, March. [Downloadable!] (restricted)
    18. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research. [Downloadable!]
    19. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society. [Downloadable!]
    20. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, HEC Paris. [Downloadable!]
      Other versions:
    21. Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    22. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO. [Downloadable!]
    23. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999. [Downloadable!]
    24. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research. [Downloadable!]
    25. Gregory P. Hopper, 1997. "What determines the exchange rate: economic factors or market sentiment?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 17-29. [Downloadable!]
    26. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society. [Downloadable!]
    27. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    28. Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]

  43. Robert F. Engle & Kenneth F. Kroner previously & Yoshihisa Baba & Dennis F. Kraft, 1993. "Multivariate Simultaneous Generalized ARCH," University of California at San Diego, Economics Working Paper Series 89-57r, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

    Cited by:

    1. Burak Saltoğlu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 169-176, January. [Downloadable!] (restricted)
    2. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(1), pages 45-59, March. [Downloadable!] (restricted)
    4. Michael S. Gibson & Brian H. Boyer, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Fei Chen & Charles Sutcliffe, 2007. "Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features," ICMA Centre Discussion Papers in Finance icma-dp2007-04, Henley Business School, Reading University. [Downloadable!]
    6. Bettina Becker & Stephen Hall, 2009. "Foreign Direct Investment in R&D and Exchange Rate Uncertainty," Open Economies Review, Springer, vol. 20(2), pages 207-223, April. [Downloadable!] (restricted)
    7. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
    8. Thomas J. Flavin & Michele G. Limosani, 2000. "Explaining European Short-term Interest Rate Differentials: An Application of Tobin's Portfolio Theory," Economics, Finance and Accounting Department Working Paper Series n1000500, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    9. Kevin B. Grier & Ólan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "The asymmetric effects of uncertainty on inflation and output growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 551-565. [Downloadable!]
      Other versions:
    10. Miguel Jerez & José Casals & Sonia Sotoca, 2009. "Likelihood stabilization for ill-conditioned vector GARCH models," Computational Statistics, Springer, vol. 24(1), pages 15-35, February. [Downloadable!] (restricted)
    11. Bettina Becker & Stephen Hall, 2004. "Foreign direct investment in industrial R&D and exchange rate uncertainty in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 4, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    12. Gary S. Shea, 2004. "South Sea Company Subscription Shares and Warrant Values in 1720," CRIEFF Discussion Papers 0411, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    13. Deaves, Richard & Charupat, Narat, 2002. "Backwardation and Normal Backwardation in Energy Futures Markets. : With an Application to Metallgesellschaft?s Short-Dated Rollover Hedging of Long-Term Contracts," ZEW Discussion Papers 02-59, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    14. Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany. [Downloadable!]
    15. Hwee Kwan CHOW & Yoonbai KIM, 2004. "The Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia," Econometric Society 2004 Far Eastern Meetings 575, Econometric Society. [Downloadable!]
      Other versions:
    16. Sylvia Gottschalk & Stephen Hall, 2008. "Foreign direct investment and exchange rate uncertainty in South-East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 349-359. [Downloadable!]
    17. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany. [Downloadable!]
    18. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 4795, University Library of Munich, Germany. [Downloadable!]
    19. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics. [Downloadable!]
      Other versions:
    20. Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department. [Downloadable!]
    21. P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438. [Downloadable!]
    22. Nicholas Apergis & Stephen M. Miller, 2007. "Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility," Working papers 2007-06, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    23. Thomas J. Flavin & Michael R. Wickens, 1998. ": A Risk Management Approach to Optimal Asset Allocation," Economics, Finance and Accounting Department Working Paper Series n851298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
      Other versions:
    24. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Quantitative Finance Papers 0802.0214, arXiv.org. [Downloadable!]
    25. Pilar Abad & Helena Chuliá & Marta Gomez-Puig, 2009. "EMU and European Government Bond Market Integration," Working Paper Series 1079, European Central Bank. [Downloadable!]
    26. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models," CIRANO Working Papers 2003s-34, CIRANO. [Downloadable!]
      Other versions:
    27. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    28. Francis , Bill B & Hasan, Iftekhar & Hunter, Delroy M, 2008. "Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia," Research Discussion Papers 14/2008, Bank of Finland. [Downloadable!]
    29. Kyriakos C. Neanidis & Christos S. Savva, 2006. "The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies," The School of Economics Discussion Paper Series 0609, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    30. Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 2008.7, East Asian Bureau of Economic Research. [Downloadable!]
    31. Matei Demetrescu, 2007. "Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?," Economics Bulletin, AccessEcon, vol. 7(15), pages 1-8. [Downloadable!]
    32. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis. [Downloadable!]
    33. Thomas J. Flavin & Michael R. Wickens, 1998. "Optimal International Asset Allocation and Home Bias," Economics, Finance and Accounting Department Working Paper Series n841298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    34. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, EconWPA. [Downloadable!]
      Other versions:
    35. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80. [Downloadable!]
    36. Gómez-Déniz, E., 2004. "A note on mixture prior distributions with applications in actuarial statistic/Sobre las Distribuciones a Priori Mixtas con Aplicaciones en la Estadística Actuarial," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 372 (15 p, Agosto. [Downloadable!] (restricted)
    37. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    38. Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO. [Downloadable!]
      Other versions:
    39. Robert F. Engle & Neil Shephard & Kevin Sheppard, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    40. Paul D. McNelis & G.C. Lim, 1998. "Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark," International Finance 9805001, EconWPA. [Downloadable!]
    41. Gianluigi Pelloni & Wolfgang Polasek, 2003. "Macroeconomic Effects of Sectoral Shocks in Germany, The U.K. and, The U.S. A VAR-GARCH-M Approach," Computational Economics, Springer, vol. 21(1), pages 65-85, February. [Downloadable!] (restricted)
      Other versions:
    42. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
      Other versions:
    43. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
    44. He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," Working Paper Series in Economics and Finance 516, Stockholm School of Economics. [Downloadable!]
    45. Aliyu, Shehu Usman Rano, 2008. "Exchange Rate Volatility and Export Trade in Nigeria: An Empirical Investigation," MPRA Paper 13490, University Library of Munich, Germany, revised 17 Feb 2009. [Downloadable!]
    46. Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009. "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series CIRJE-F-699, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    47. Gerard Gannon & Siu Pang Au-Yeung, 2004. "Structural Effects and Spillovers in HSIF, HSI and S&P500 Volatility," Accounting, Finance, Financial Planning and Insurance Series 2004_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    48. Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    49. Bill Francis & Iftekhar Hasan & Delroy Hunter, 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Working Paper 2002-16, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    50. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
      [Testing the contagion hypotheses using multivariate volatility models]      ," MPRA Paper 10356, University Library of Munich, Germany. [Downloadable!]
    51. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
    52. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
    53. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland. [Downloadable!]
      Other versions:
    54. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics. [Downloadable!]
    55. Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund. [Downloadable!]
    56. Priti Verma & Dave Jackson, 2008. "Interest rate and bank stock returns asymmetry: Evidence from U.S. banks," Journal of Economics and Finance, Springer, vol. 32(2), pages 105-118, April. [Downloadable!] (restricted)
    57. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany. [Downloadable!]
    58. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
      Other versions:
    59. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," CORE Discussion Papers 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    60. GianCarlo Moschini & Robert J. Myers, 2001. "Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach," Center for Agricultural and Rural Development (CARD) Publications 01-wp268, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
      Other versions:
    61. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    62. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Department of Economics, University of Glasgow. [Downloadable!]
    63. Balli, Faruk, 2008. "Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?," MPRA Paper 10162, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    64. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, . "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York. [Downloadable!]
    65. P. Saikkonen, . "Stability Results for Nonlinear Vector Autoregressions with an Application to a Nonlinear Error Correction Model," Sonderforschungsbereich 373 2001-93, Humboldt Universitaet Berlin.
    66. Andrew C. Worthington & Helen Higgs, 2003. "A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market," School of Economics and Finance Discussion Papers and Working Papers Series 140, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    67. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics. [Downloadable!]
    68. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April. [Downloadable!]
    69. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 09/140, International Monetary Fund. [Downloadable!]
    70. Naohiko Baba & Masakazu Inada, 2007. "Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS," IMES Discussion Paper Series 07-E-06, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    71. Baele, Lieven, 2003. "Volatility Spillover Effects in European Equity Markets: Evidence from a Regime Switching Model," EIFC - Technology and Finance Working Papers 33, United Nations University, Institute for New Technologies. [Downloadable!]
    72. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    73. Alfonso Mendoza V., 2003. "The Inflation-Output Volatility Tradeoff and Exchange Rate Shocks in Mexico and Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 27-51. [Downloadable!]
    74. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    75. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
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    76. Olan T. Henry & Michael McKenzie, 2004. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," Working Papers 032004, Hong Kong Institute for Monetary Research. [Downloadable!]
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    77. Venus Khim-Sen Liew & Wing-Keung Wong & Zhuo Qiao, 2007. "Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model," Economics Bulletin, AccessEcon, vol. 6(27), pages 1-7. [Downloadable!]
    78. Balogun, Emmanuel Dele, 2008. "An Empirical Test of Trade Gravity Model Criteria for the West African Monetary Zone (WAMZ)," MPRA Paper 7083, University Library of Munich, Germany. [Downloadable!]
    79. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    80. Andrew C. Worthington & Adam Kay-Spratley & Helen Higgs, 2002. "Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis," School of Economics and Finance Discussion Papers and Working Papers Series 114, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    81. Kym Brown, 2001. "Closing the Divide - Issues When Developing a Bond Market: The Case of Sri Lanka," Accounting, Finance, Financial Planning and Insurance Series 2001_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    82. Matteo M. Pelagatti & Stefania Rondena, 2005. "Dynamic Conditional Correlation with Elliptical Distributions," Econometrics 0503007, EconWPA. [Downloadable!]
    83. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
      Other versions:
    84. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004,03, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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    85. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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    86. Flavin, Thomas & Wickens, Michael R, 2002. "Macroeconomic Influences on Optimal Asset Allocation," CEPR Discussion Papers 3144, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    87. Watt, D.G.M., 1997. "Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets," Working Papers 97-18, Bank of Canada. [Downloadable!]
    88. Giorgio Santis & Bruno Gerard & Pierre Hillion, 1999. "The Relevance of Current Risk in the EMU," University of California at Los Angeles, Anderson Graduate School of Management 1094, Anderson Graduate School of Management, UCLA. [Downloadable!]
    89. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics. [Downloadable!]
      Other versions:
    90. Beaulieu, Marie-claude & Cosset, Jean-Claude & Essaddam, Naceur, 2002. "The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada," Cahiers de recherche 0208, CIRPEE. [Downloadable!]
    91. Qingfeng Liu & Kimio Morimune, 2005. "A Modified GARCH Model with Spells of Shocks," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 29-44, March. [Downloadable!] (restricted)
    92. Klaassen, F., 1999. "Have exchange rates become more closely tied? : evidence from a new multivariate garch model," Discussion Paper 10, Tilburg University, Center for Economic Research. [Downloadable!]
    93. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group. [Downloadable!]
    94. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria. [Downloadable!]
    95. Bekiros, S. & Diks, C.G.H., 2007. "The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing," CeNDEF Working Papers 07-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    96. Garry Phillips & Emma Iglesias, 2004. "Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances," Econometric Society 2004 Far Eastern Meetings 567, Econometric Society. [Downloadable!]
    97. Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
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    98. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society. [Downloadable!]
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    99. Y.K. Tse & Albert K.C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometrics 0004007, EconWPA. [Downloadable!]
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    100. Sylvia Gottschalk & R. Barrel & S.G. Hall, 2004. "Foreign direct investment and exchange rate uncertainty in imperfectly competitive industries," Money Macro and Finance (MMF) Research Group Conference 2003 39, Money Macro and Finance Research Group. [Downloadable!]
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    101. Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Accounting, Finance, Financial Planning and Insurance Series 2004_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    102. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research. [Downloadable!]
    103. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
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    104. WenShwo Fang & Stephen M. Miller, 2002. "Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis," Working papers 2002-31, University of Connecticut, Department of Economics. [Downloadable!]
    105. Y. K. Tse & S. L. Yip, 2005. "Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore," Economic Growth centre Working Paper Series 0503, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
      Other versions:
    106. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    107. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, . "Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados," Borradores de Economia 366, Banco de la Republica de Colombia. [Downloadable!]
      Other versions:
    108. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    109. Du, Xiaodong & Hennessy, David A., 2008. "The Planting Real Option in Cash Rent Valuation," Staff General Research Papers 12874, Iowa State University, Department of Economics. [Downloadable!]
    110. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
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    111. HAFNER, Christian M. & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," CORE Discussion Papers 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    112. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    113. Shamiri, Ahmed, 2008. "Volatility Transmission: What Does Asia-Pacific Markets Expect?," MPRA Paper 13706, University Library of Munich, Germany. [Downloadable!]
    114. Hall, S.G. & Yhap, B., 2008. "Measuring the Correlation of Shocks Between the UK and the Core of Europe," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 17-26, March. [Downloadable!]
      Other versions:
    115. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston. [Downloadable!]
    116. Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics. [Downloadable!]
    117. Baele, L., 2003. "Volatility spillover effects in European equity markets," Discussion Paper 114, Tilburg University, Center for Economic Research. [Downloadable!]
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    118. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 211-223, January. [Downloadable!] (restricted)
    119. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York. [Downloadable!]
    120. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
      Other versions:
    121. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    122. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
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    123. Haigh, Michael S. & Holt, Matthew T., 2002. "Combining Time-Varying And Dynamic Multi-Period Optimal Hedging Models," Working Papers 28593, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
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    124. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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    125. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    126. Xiaodong Du & David A. Hennessy, 2008. "Planting Real Option in Cash Rent Valuation, The," Center for Agricultural and Rural Development (CARD) Publications 08-wp463, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
    127. Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 371-388, November. [Downloadable!]
    128. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    129. Thomas J. Flavin & Michael R. Wickens, 2000. "Global Asset Allocation with Time-varying Risk," Economics, Finance and Accounting Department Working Paper Series n1020800, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    130. M. Fengler & H. Herwartz, . "Multivariate Volatility Models," Sonderforschungsbereich 373 2001-74, Humboldt Universitaet Berlin.
    131. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika, Springer, vol. 67(2), pages 219-239, March. [Downloadable!] (restricted)
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    132. S. Wong & K. Chau & C. Yiu, 2007. "Volatility Transmission in the Real Estate Spot and Forward Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 281-293, October. [Downloadable!] (restricted)
    133. Daniel Burren, 2008. "The Role of Sectoral Shifts in the Great Moderation," Diskussionsschriften dp0801, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    134. Andrew Worthington & Helen Higgs, 2005. "Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas," School of Economics and Finance Discussion Papers and Working Papers Series 201, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    135. W. Härdle & H. Herwartz & V. Spokoiny, . "Time Inhomogeneous Multiple Volatility Modelling," Sonderforschungsbereich 373 2001-7, Humboldt Universitaet Berlin.
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    136. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany. [Downloadable!]
    137. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, EconWPA. [Downloadable!]
    138. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York. [Downloadable!]
    139. Goeij, P. de & Marquering, W.A., 2002. "Modeling the Conditional Covariance between Stock and Bond Returns," Research Paper ERS-2002-11-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    140. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society. [Downloadable!]
      Other versions:
    141. Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 2006.17, East Asian Bureau of Economic Research. [Downloadable!]
    142. Caiado, Jorge & Crato, Nuno, 2009. "Identifying common dynamic features in stock returns," MPRA Paper 15240, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    143. C.M. Hafner & H. Herwartz, 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Report 288, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    144. Elie Appelbaum & Alan D. Woodland, 2008. "The Effects of Foreign Price Uncertainty on Australian Production and Trade," Working Papers 2008_03, York University, Department of Economics. [Downloadable!]
    145. Ruey S. Tsay, 2007. "Multivariate volatility models," Quantitative Finance Papers math/0702815, arXiv.org. [Downloadable!]
    146. Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999. "The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates," Temi di discussione (Economic working papers) 358, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    147. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564. [Downloadable!]
    148. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    149. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series 2001-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    150. Óscar Reinaldo Becerra & Luis Fernando Melo Velandia., 2009. "Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 107-134. [Downloadable!]
      Other versions:
    151. WenShwo Fang & Stephen M. Miller, 2002. "Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis," Working papers 2002-30, University of Connecticut, Department of Economics. [Downloadable!]
    152. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO. [Downloadable!]
    153. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289. [Downloadable!]
    154. Prasad Bhattacharaya & Harminder Singh & Gerard Gannon, 2006. "Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market," Accounting, Finance, Financial Planning and Insurance Series 2006_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    155. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
    156. Ángel León & Antonio Rubia, 2002. "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD 2002-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    157. Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    158. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.10, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
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    159. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    160. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    161. Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society. [Downloadable!]
    162. Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    163. Stephen Hall & George Hondroyiannis, 2006. "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, vol. 39(1), pages 19-34, June. [Downloadable!] (restricted)
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    164. Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany. [Downloadable!]
    165. Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    166. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    167. Dietmar Bauer, 2004. "Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations," Cowles Foundation Discussion Papers 1452, Cowles Foundation, Yale University. [Downloadable!]
    168. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2008. "Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case," GEMF Working Papers 2008-03, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
    169. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University. [Downloadable!]
    170. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, EconWPA. [Downloadable!]
    171. Guillermo Benavides & Carlos Capistrán, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México. [Downloadable!]
    172. Hsiang-Tai Lee & Jonathan Yoder, 2005. "A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios," Econometrics 0506009, EconWPA. [Downloadable!]
      Other versions:
    173. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    174. Matteo Manera & Elisa Scarpa, 2006. "Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index," Working Papers 2006.130, Fondazione Eni Enrico Mattei. [Downloadable!]
    175. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA. [Downloadable!]
    176. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    177. Marçal, Emerson F. & Valls Pereira , Pedro L., 2008. "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper 15623, University Library of Munich, Germany. [Downloadable!]
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    178. Simone Manganelli & Vladimiro Ceci & Walter Vecchiato, 2002. "Sensitivity analysis of volatility - a new tool for risk management," Working Paper Series 194, European Central Bank. [Downloadable!]
    179. Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002. "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften dp0212, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    180. Gerard Gannon & Siu Pang Au-Yeung, 2007. "Modelling Regulatory Change V's Volume of Trade Effects in HSIF and HSI Volatility: A Note," Accounting, Finance, Financial Planning and Insurance Series 2007_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
    181. Brent Hudson & Richard Gerlach, 2008. "A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 606-627, December. [Downloadable!] (restricted)
    182. Francis Vitek, 2005. "On Risk Premia and Volatility Transmission Across the Stock and Bond Markets," Finance 0508014, EconWPA. [Downloadable!]

  44. Tim Bollerslev & Robert F. Engle & Daniel B. Nelson, 1993. "ARCH Models," University of California at San Diego, Economics Working Paper Series 93-49, Department of Economics, UC San Diego. [Downloadable!]
    Published as:
    • Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier. [Downloadable!] (restricted)

    Cited by:

    1. Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004. "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings 158, Econometric Society. [Downloadable!]
      Other versions:
    2. Yue Fang, John Zhang, 1999. "Performance of control charts for autoregressive conditional heteroscedastic processes," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(6), pages 701-714, August. [Downloadable!] (restricted)
    3. Joon Y. Park, 2000. "Nonstationary Nonlinear Heteroskedasticity: An Alternative to ARCH," CIRJE F-Series CIRJE-F-86, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    4. Matthew C. Li, 2003. "Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)," Trinity Economics Papers 20035, Trinity College Dublin, Department of Economics. [Downloadable!]
    5. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society. [Downloadable!]
    6. Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
      Other versions:
    7. Thomas J. Flavin & Michele G. Limosani, 2000. "Explaining European Short-term Interest Rate Differentials: An Application of Tobin's Portfolio Theory," Economics, Finance and Accounting Department Working Paper Series n1000500, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    8. Pauline M. Shum & James E. Pesando, 1996. "Share Price Response to New Information with Short Horizon Investors the Case of Hong Kong," Working Papers 1997_02, York University, Department of Economics. [Downloadable!]
    9. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456. [Downloadable!]
    10. Klaus Abberger, 2004. "A simple graphical method to explore tail-dependence in stock-return pairs," CoFE Discussion Paper 04-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
      Other versions:
    11. Jonathan H. Wright & Tim Bollerslev, 1999. "High frequency data, frequency domain inference and volatility forecasting," International Finance Discussion Papers 649, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    12. Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    13. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge. [Downloadable!]
    14. Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    15. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    16. Thomas J. Flavin & Michael R. Wickens, 1998. ": A Risk Management Approach to Optimal Asset Allocation," Economics, Finance and Accounting Department Working Paper Series n851298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
      Other versions:
    17. Mordecai Kurz, . "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 98013, Stanford University, Department of Economics. [Downloadable!]
    18. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    19. Thomas J. Flavin & Michael R. Wickens, 1998. "Optimal International Asset Allocation and Home Bias," Economics, Finance and Accounting Department Working Paper Series n841298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    20. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    21. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society. [Downloadable!]
      Other versions:
    22. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    23. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. [Downloadable!]
    24. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
    25. Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation, Yale University. [Downloadable!]
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    26. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
    27. Marquering, W. & Verbeek, M., 2000. "The economic value of predicting stock index returns and volatility," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    28. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    29. C.M. Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Report 325, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    30. Douglas G. Steigerwald, 2000. "Explaining Stochastic Volatility in Asset Prices," Econometric Society World Congress 2000 Contributed Papers 0441, Econometric Society. [Downloadable!]
    31. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    32. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics. [Downloadable!]
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    33. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics. [Downloadable!]
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    34. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation, Yale University. [Downloadable!]
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    35. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]
    36. Victoria Saporta & Kamhon Kan, . "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England. [Downloadable!]
    37. Elkin Castaño & Luis Fernando Melo, . "Métodos de Combinación de Pronósticos: Una Aplicación a la Inflación Colombiana," Borradores de Economia 109, Banco de la Republica de Colombia. [Downloadable!]
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    38. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    39. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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    40. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society. [Downloadable!]
    41. H. Herwartz & H. Reimers, . "Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications," Sonderforschungsbereich 373 2001-83, Humboldt Universitaet Berlin.
    42. Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics. [Downloadable!]
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    43. Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute. [Downloadable!]
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    44. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
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    45. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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    46. Emma Iglesias & Jean Marie Dufour, 2004. "Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors," Econometric Society 2004 North American Summer Meetings 161, Econometric Society. [Downloadable!]
    47. H. Herwartz & H. Reimers, . "Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt," Sonderforschungsbereich 373 1999-48, Humboldt Universitaet Berlin.
    48. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536. [Downloadable!]
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    49. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 01-08, Federal Reserve Bank of San Francisco. [Downloadable!]
    50. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, . "Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados," Borradores de Economia 366, Banco de la Republica de Colombia. [Downloadable!]
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    51. Christian Walter & Jose A. Lopez, 2000. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Working Papers in Applied Economic Theory 2000-02, Federal Reserve Bank of San Francisco. [Downloadable!]
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    52. Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    53. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society. [Downloadable!]
    54. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," Center for Financial Institutions Working Papers 00-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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    55. Juan Carlos Gómez-Sala, 2001. "Rentabilidad y liquidez alrededor de la fecha de desdoblamiento d