Eric Ghysels Citations at IDEAS
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and download statistics Working papers
Elena Andreou & Eric Ghysels, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests ,"
CIRANO Working Papers
2004s-25, CIRANO.
[Downloadable!] Cited by:
Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Power and bipower variation with stochastic volatility and jumps ,"
Economics Papers
2003-W17, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: Elena Andreou & Eric Ghysels, 2004.
"Monitoring for Disruptions in Financial Markets ,"
CIRANO Working Papers
2004s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Anders Eriksson Lars Forsberg, 2004.
"Approximating the probability distribution of functions of random variables: A new approach ,"
Econometric Society 2004 Far Eastern Meetings
503, Econometric Society.
[Downloadable!] Other versions: Cited by:
Francisco Javier Mencía & Enrique Sentana, 2004.
"Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations ,"
Working Papers
wp2004_0411, CEMFI.
[Downloadable!]
Other versions:
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies ,"
CIRANO Working Papers
2004s-19, CIRANO.
[Downloadable!] Other versions: Cited by:
Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"Limit theorems for bipower variation in financial econometrics ,"
OFRC Working Papers Series
2005fe09, Oxford Financial Research Centre.
[Downloadable!]
Other versions:Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"Limit Theorems For Bipower Variation In Financial Econometrics ,"
Econometric Theory ,
Cambridge University Press, vol. 22(04), pages 677-719, May.
[Downloadable!]
Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005.
"Limit theorems for bipower variation in financial econometrics ,"
Economics Papers
2005-W06, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
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!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics ,"
OFRC Working Papers Series
2005fe08, Oxford Financial Research Centre.
[Downloadable!]
Other versions:Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics ,"
Economics Papers
2005-W16, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics ,"
Economics Series Working Papers
240, University of Oxford, Department of Economics.
[Downloadable!]
Christopher F. Baum & Mustafa Caglayan & Oleksandr Talavera, 2006.
"On the Sensitivity of Firms' Investment to Cash Flow and Uncertainty ,"
Boston College Working Papers in Economics
638, Boston College Department of Economics, revised 26 Apr 2008.
[Downloadable!]
Other versions: Wolfgang Härdle & Julius Mungo, 2007.
"Long Memory Persistence in the Factor of Implied Volatility Dynamics ,"
SFB 649 Discussion Papers
SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Eric Ghysels & Jonathan H. Wright, 2006.
"Forecasting professional forecasters ,"
Finance and Economics Discussion Series
2006-10, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"Monitoring for Disruptions in Financial Markets ,"
CIRANO Working Papers
2004s-26, CIRANO.
[Downloadable!]
Clements, Michael P & Galvão, Ana Beatriz, 2006.
"Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation ,"
The Warwick Economics Research Paper Series (TWERPS)
773, University of Warwick, Department of Economics.
[Downloadable!]
Gregory H. Bauer & Keith Vorkink, 2007.
"Multivariate Realized Stock Market Volatility ,"
Working Papers
07-20, Bank of Canada.
[Downloadable!]
Peter Christoffersen & Stefano Mazzotta, 2004.
"The information content of over-the-counter currency options ,"
Working Paper Series
366, European Central Bank.
[Downloadable!]
Other versions:
Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004.
"Do Heterogeneous Beliefs Matter for Asset Pricing? ,"
Econometric Society 2004 North American Summer Meetings
477, Econometric Society.
[Downloadable!] Cited by:
Wiliam Branch & George W. Evans, 2006.
"Asset Return Dynamics and Learning ,"
University of Oregon Economics Department Working Papers
2006-14, University of Oregon Economics Department.
[Downloadable!]
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!]
René Garcia & Eric Ghysels & Éric Renault, 2004.
"The Econometrics of Option Pricing ,"
CIRANO Working Papers
2004s-04, CIRANO.
[Downloadable!] Cited by:
Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Econometrics of testing for jumps in financial economics using bipower variation ,"
Economics Papers
2003-W21, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: Andrea Pascucci & Paolo Foschi, 2005.
"Calibration of the Hobson&Rogers model: empirical tests ,"
Finance
0509020, EconWPA.
[Downloadable!]
Neil Shephard, 2005.
"Stochastic Volatility ,"
Economics Papers
2005-W17, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008.
"Short-term evolution of forward curves and volatility in illiquid power markets ,"
MPRA Paper
8932, University Library of Munich, Germany, revised May 2008.
[Downloadable!]
Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005.
"An empirical comparison of the performance of alternative option pricing models ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 29(3), pages 483-523, September.
[Downloadable!]
Other versions: Silvia Goncalves & Massimo Guidolin, 2005.
"Predictable dynamics in the S&P 500 index options implied volatility surface ,"
Working Papers
2005-010, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions: Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005.
"State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle ,"
Working Papers
05-9, Bank of Canada.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
CIRANO Working Papers
2004s-20, CIRANO.
[Downloadable!] Cited by:
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!]
Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008.
"Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets ,"
MPRA Paper
7460, University Library of Munich, Germany.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-time measurement of business conditions ,"
International Finance Discussion Papers
901, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008.
"Real-Time Measurement of Business Conditions ,"
NBER Working Papers
14349, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-Time Measurement of Business Conditions ,"
PIER Working Paper Archive
07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!]
Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006.
"Real-Time Measurement of Business Conditions ,"
Computing in Economics and Finance 2006
387, Society for Computational Economics.
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-Time Measurement of Business Conditions, Second Version ,"
PIER Working Paper Archive
08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies ,"
CIRANO Working Papers
2004s-19, CIRANO.
[Downloadable!]
Other versions: Eric Ghysels & Jonathan H. Wright, 2006.
"Forecasting professional forecasters ,"
Finance and Economics Discussion Series
2006-10, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Clements, Michael P & Galvão, Ana Beatriz, 2006.
"Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation ,"
The Warwick Economics Research Paper Series (TWERPS)
773, University of Warwick, Department of Economics.
[Downloadable!]
Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004.
"A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 ,"
NBER Working Papers
10447, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Gregory H. Bauer & Keith Vorkink, 2007.
"Multivariate Realized Stock Market Volatility ,"
Working Papers
07-20, Bank of Canada.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"Monitoring for Disruptions in Financial Markets ,"
CIRANO Working Papers
2004s-26, CIRANO.
[Downloadable!] Cited by:
Stanislav Anatolyev, 2006.
"Nonparametric retrospection and monitoring of predictability of financial returns ,"
Working Papers
w0071, Center for Economic and Financial Research (CEFIR).
[Downloadable!]
Marine Carrasco & Mikhail Chernov & Jean-Pierre Florens & Eric Ghysels, 2003.
"Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions ,"
CIRANO Working Papers
2003s-02, CIRANO.
[Downloadable!] Other versions: Cited by:
Jean-Pierre Florens & Marine Carrasco, 2004.
"On the Asymptotic Efficiency of GMM ,"
Econometric Society 2004 North American Winter Meetings
436, Econometric Society.
[Downloadable!]
Other versions: Michael Sørensen & Julie Lyng Forman, 2007.
"The Pearson diffusions: A class of statistically tractable diffusion processes ,"
CREATES Research Papers
2007-28, School of Economics and Management, University of Aarhus.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
CIRANO Working Papers
2004s-20, CIRANO.
[Downloadable!]
Marine Carrasco, 2004.
"Chi-square Tests for Parameter Stability ,"
RCER Working Papers
508, University of Rochester - Center for Economic Research (RCER).
[Downloadable!]
Hao Zhou, 2003.
"Itô conditional moment generator and the estimation of short rate processes ,"
Finance and Economics Discussion Series
2003-32, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!] Other versions:
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!] Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!] Cited by:
Hui Guo & Robert Savickas, 2005.
"Idiosyncratic volatility, stock market volatility, and expected stock returns ,"
Working Papers
2003-028, Federal Reserve Bank of St. Louis.
[Downloadable!]
Other versions:Guo, Hui & Savickas, Robert, 2006.
"Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 24, pages 43-56, January.
[Downloadable!] (restricted)
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!]
Pentti Saikkonen & Markku Lanne, 2004.
"A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns ,"
Econometric Society 2004 North American Summer Meetings
469, Econometric Society.
[Downloadable!]
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!]
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!]
Til Schuermann & Kevin J. Stiroh, 2006.
"Visible and hidden risk factors for banks ,"
Staff Reports
252, Federal Reserve Bank of New York.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"Idiosyncratic volatility, economic fundamentals, and foreign exchange rates ,"
Working Papers
2005-025, Federal Reserve Bank of St. Louis.
[Downloadable!]
Hui Guo & Christopher J. Neely & Jason Higbee, 2006.
"Foreign exchange volatility is priced in equities ,"
Working Papers
2004-029, Federal Reserve Bank of St. Louis.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies ,"
CIRANO Working Papers
2004s-19, CIRANO.
[Downloadable!]
Other versions: Eric Ghysels & Jonathan H. Wright, 2006.
"Forecasting professional forecasters ,"
Finance and Economics Discussion Series
2006-10, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Hui Guo & Robert Savickas, 2003.
"Does idiosyncratic risk matter: another look ,"
Working Papers
2003-025, Federal Reserve Bank of St. Louis.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
Hui Guo & Robert Savickas, 2006.
"Understanding stock return predictability ,"
Working Papers
2006-019, Federal Reserve Bank of St. Louis.
[Downloadable!]
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)
Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005.
"An empirical comparison of the performance of alternative option pricing models ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 29(3), pages 483-523, September.
[Downloadable!]
Other versions: Long Chen & Hui Guo & Lu Zhang, 2006.
"Equity market volatility and expected risk premium ,"
Working Papers
2006-007, Federal Reserve Bank of St. Louis.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
CIRANO Working Papers
2004s-20, CIRANO.
[Downloadable!]
Pástor, Lubos & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006.
"Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital ,"
CEPR Discussion Papers
5462, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Hui Guo & Robert Savickas, 2006.
"Aggregate idiosyncratic volatility in G7 countries ,"
Working Papers
2004-027, Federal Reserve Bank of St. Louis.
[Downloadable!]
Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004.
"A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 ,"
NBER Working Papers
10447, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
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: Cited by:
Patrick McGlenchy & Paul Kofman, 2004.
"Structurally Sound Dynamic Index Futures Hedging ,"
Econometric Society 2004 Australasian Meetings
80, Econometric Society.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests ,"
CIRANO Working Papers
2004s-25, CIRANO.
[Downloadable!]
Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002.
"Alternative Models for Stock Price Dynamic ,"
Working Papers
02-03, Duke University, Department of Economics.
[Downloadable!] Other versions: Cited by:
Manabu Asai & Michael McAleer, 2005.
"Asymmetric Multivariate Stochastic Volatility ,"
DEA Working Papers
12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
[Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Econometrics of testing for jumps in financial economics using bipower variation ,"
Economics Papers
2003-W21, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: Paola Zerilli, 2005.
"Option pricing and spikes in volatility: theoretical and empirical analysis ,"
Money Macro and Finance (MMF) Research Group Conference 2005
76, Money Macro and Finance Research Group.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004.
"Option Valuation with Long-run and Short-run Volatility Components ,"
CIRANO Working Papers
2004s-56, CIRANO.
[Downloadable!]
Other versions: Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"American options: the EPV pricing model ,"
Finance
0405024, EconWPA.
[Downloadable!]
Other versions: Helena Veiga, 2006.
"Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1 ,"
Statistics and Econometrics Working Papers
ws062509, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
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!]
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:Guidolin, Massimo & Timmermann, Allan, 2006.
"Term structure of risk under alternative econometric specifications ,"
Journal of Econometrics ,
Elsevier, vol. 131(1-2), pages 285-308.
[Downloadable!] (restricted)
Guidolin, Massimo & Timmermann, Allan G, 2004.
"Term Structure of Risk Under Alternative Econometric Specifications ,"
CEPR Discussion Papers
4645, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
James E. Griffin & Mark F.J. Steel, 2002.
"Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility ,"
Econometrics
0201002, EconWPA, revised 04 Apr 2003.
[Downloadable!]
Other versions: Oleg Korenok & Stanislav Radchenko, 2005.
"The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications ,"
Econometrics
0508015, EconWPA.
[Downloadable!]
Other versions: Nour Meddahi, 2002.
"ARMA Representation of Integrated and Realized Variances ,"
CIRANO Working Papers
2002s-93, CIRANO.
[Downloadable!]
CARRASCO, Marine & CHERNOV, Mikhaël & FLORENS, Jean-Pierre & GHYSELS, Eric, 2000.
"Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions ,"
IDEI Working Papers
116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
[Downloadable!]
Other versions: Esther Ruiz & Helena Veiga, 2006.
"Modelling Long-Memory Volatilities With Leverage Effect: Almsv Versus Fiegarch ,"
Statistics and Econometrics Working Papers
ws066016, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Other versions: Stefano Galluccio & Yann Le Cam, 2005.
"Implied Calibration of Stochastic Volatility Jump Diffusion Models ,"
Finance
0510028, EconWPA.
[Downloadable!]
Til Schuermann & Kevin J. Stiroh, 2006.
"Visible and hidden risk factors for banks ,"
Staff Reports
252, Federal Reserve Bank of New York.
[Downloadable!]
Michael W. Brandt & Qiang Kang, 2002.
"On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach ,"
NBER Working Papers
9056, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Neil Shephard, 2005.
"Stochastic Volatility ,"
Economics Papers
2005-W17, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Federico Bandi & Benoit Perron, 2003.
"Long memory and the relation between implied and realized volatility ,"
Econometrics
0305004, EconWPA.
[Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Power and bipower variation with stochastic volatility and jumps ,"
Economics Papers
2003-W17, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: David S. Bates, 2003.
"Maximum Likelihood Estimation of Latent Affine Processes ,"
NBER Working Papers
9673, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006.
"Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion ,"
Working Papers
06-14, Bank of Canada.
[Downloadable!]
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)
Peter Christoffersen & Francis X. Diebold, 2002.
"Financial Asset Returns, Market Timing, and Volatility Dynamics ,"
CIRANO Working Papers
2002s-02, CIRANO.
[Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2003.
"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes ,"
Economics Papers
2003-W12, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Other versions: Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
CIRANO Working Papers
2004s-20, CIRANO.
[Downloadable!]
Nour Meddahi, 2002.
"ARMA Representation of Two-Factor Models ,"
CIRANO Working Papers
2002s-92, CIRANO.
[Downloadable!]
ROCKINGER, Michael & JONDEAU, Eric, 2001.
"Portfolio allocation in transition economies ,"
Les Cahiers de Recherche
740, Groupe HEC.
[Downloadable!]
Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005.
"Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options ,"
NBER Working Papers
11861, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
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!]
Helena Veiga, 2006.
"A Two Factor Long Memory Stochastic Volatility Model ,"
Statistics and Econometrics Working Papers
ws061303, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
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: 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!]
Other versions: Helena Veiga, 2006.
"Are Feedback Factors Important In Modelling Financial Data? ,"
Statistics and Econometrics Working Papers
ws060101, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Other versions: Eric Hillebrand, 2003.
"Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models ,"
Econometrics
0301003, EconWPA.
[Downloadable!]
George Tauchen & Hao Zhou, 2006.
"Realized jumps on financial markets and predicting credit spreads ,"
Finance and Economics Discussion Series
2006-35, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Elena Andreou & Eric Ghysels, 2001.
"Detecting Mutiple Breaks in Financial Market Volatility Dynamics ,"
CIRANO Working Papers
2001s-65, CIRANO.
[Downloadable!] Other versions: Published as: Cited by:
Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006.
"Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo GmbH.
[Downloadable!]
Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008.
"Adaptive pointwise estimation in time-inhomogeneous time-series models ,"
SFB 649 Discussion Papers
SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Other versions: 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: Eric Hillebrand, 2005.
"Overlaying Time Scales in Financial Volatility Data ,"
Econometrics
0501015, EconWPA.
[Downloadable!]
Colavecchio , Roberta & Funke, Michael, 2007.
"Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets ,"
BOFIT Discussion Papers
17/2007, Bank of Finland, Institute for Economies in Transition.
[Downloadable!]
Other versions: D van Dijk & D R Osborn & M Sensier, 2004.
"Testing for causality in variance in the presence of breaks ,"
Centre for Growth and Business Cycle Research Discussion Paper Series
45, Economics, The Univeristy of Manchester.
[Downloadable!]
Other versions: Eric Hillebrand & Gunther Schnabl, 2004.
"The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection ,"
International Finance
0410008, EconWPA.
[Downloadable!]
Other versions: Chun Liu & John M Maheu, 2007.
"Are there Structural Breaks in Realized Volatility? ,"
Working Papers
tecipa-304, University of Toronto, Department of Economics.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"Monitoring for Disruptions in Financial Markets ,"
CIRANO Working Papers
2004s-26, CIRANO.
[Downloadable!]
Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003.
"Testing for Changes in the Unconditional Variance of Financial Time Series ,"
DEA Working Papers
5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
[Downloadable!]
Eric Hillebrand & Gunther Schnabl, 2006.
"A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility ,"
Working Paper Series
650, European Central Bank.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests ,"
CIRANO Working Papers
2004s-25, CIRANO.
[Downloadable!]
John M Maheu & Thomas H McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Papers
tecipa-293, University of Toronto, Department of Economics.
[Downloadable!]
Other versions: Stapf, Jelena & Werner, Thomas, 2003.
"How wacky is the DAX? The changing structure of German stock market volatility ,"
Discussion Paper Series 1: Economic Studies
2003,18, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Helena Veiga, 2006.
"Are Feedback Factors Important In Modelling Financial Data? ,"
Statistics and Econometrics Working Papers
ws060101, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
Other versions: Martin Martens & Dick van Dijk & Michiel de Pooter, 2004.
"Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity ,"
Tinbergen Institute Discussion Papers
04-067/4, Tinbergen Institute.
[Downloadable!]
Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000.
"Let's Get "Real" About Using Economic Data ,"
Econometric Society World Congress 2000 Contributed Papers
1004, Econometric Society.
[Downloadable!] Other versions: Published as: Cited by:
Richard G. Anderson, 2006.
"Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC ,"
Review ,
Federal Reserve Bank of St. Louis, issue Jan, pages 81-93.
[Downloadable!]
Eric Ghysels & Junghoon Seon, 2000.
"The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors ,"
CIRANO Working Papers
2000s-11, CIRANO.
[Downloadable!] Cited by:
Andreas Röthig, 2004.
"Currency Futures and Currency Crises ,"
Darmstadt Discussion Papers in Economics
136, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology).
[Downloadable!]
Elena Andreou & Eric Ghysels, 2000.
"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results ,"
CIRANO Working Papers
2000s-19, CIRANO.
[Downloadable!] Published as:
Andreou, Elena & Ghysels, Eric, 2002.
"Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(3), pages 363-76, July.
Cited by:
Ole E. Barndorff-Nielsen & Neil Shephard, 2002.
"Estimating quadratic variation using realized variance ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
[Downloadable!]
John M. Maheu & Thomas H. McCurdy, 2001.
"Nonlinear Features of Realized FX Volatility ,"
CIRANO Working Papers
2001s-42, CIRANO.
[Downloadable!]
Other versions: Nour Meddahi, 2002.
"A theoretical comparison between integrated and realized volatility ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
[Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"A feasible central limit theory for realised volatility under leverage ,"
OFRC Working Papers Series
2004fe03, Oxford Financial Research Centre.
[Downloadable!]
Other versions: Michiel de Pooter & Martin Martens & Dick van Dijk, 2005.
"Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? ,"
Tinbergen Institute Discussion Papers
05-089/4, Tinbergen Institute, revised 03 Jan 2006.
[Downloadable!]
Other versions: Elena Andreou & Eric Ghysels, 2001.
"Detecting Mutiple Breaks in Financial Market Volatility Dynamics ,"
CIRANO Working Papers
2001s-65, CIRANO.
[Downloadable!]
Other versions: Michael Haliassos, 2002.
"Stockholding: Recent Lessons from Theory and Computations ,"
University of Cyprus Working Papers in Economics
0206, University of Cyprus Department of Economics.
[Downloadable!]
Helena Veiga, 2006.
"Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1 ,"
Statistics and Econometrics Working Papers
ws062509, Universidad Carlos III, Departamento de Estadística y Econometría.
[Downloadable!]
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: Nour Meddahi, 2002.
"ARMA Representation of Integrated and Realized Variances ,"
CIRANO Working Papers
2002s-93, CIRANO.
[Downloadable!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"Econometric analysis of realised volatility and its use in estimating stochastic volatility models ,"
Economics Papers
2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
[Downloadable!]
Other versions: Dipankor Coondoo & Paramita Mukherjee, 2004.
"Components of volatility and their empirical measures: a note ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(18), pages 1313-1318, December.
[Downloadable!] (restricted)
Lars Forsberg & Tim Bollerslev, 2002.
"Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
[Downloadable!]
Jeannette H.C. Woerner, 2002.
"Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models ,"
OFRC Working Papers Series
2002mf05, Oxford Financial Research Centre.
[Downloadable!]
Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002.
"Measuring and forecasting financial variability using realised variance with and without a model ,"
Economics Papers
2002-W21, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
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: Jeremy Large, 2005.
"Estimating quadratic variation when quoted prices jump by a constant increment ,"
OFRC Working Papers Series
2005fe05, Oxford Financial Research Centre.
[Downloadable!]
Other versions: Torben G. Andersen & Tim Bollerslev & Francis X. Diebold,, 2003.
"Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility ,"
CFS Working Paper Series
2003/35, Center for Financial Studies.
[Downloadable!]
Other versions: 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!]
Ole E. Barndorff-Nielsen & Neil Shephard, 2001.
"Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics ,"
Economics Papers
2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
[Downloadable!]
Other versions: Jeannette H.C. Woerner, 2003.
"Estimation of Integrated Volatility in Stochastic Volatility Models ,"
OFRC Working Papers Series
2003mf05, Oxford Financial Research Centre.
[Downloadable!]
Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002.
"Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities ,"
CIRANO Working Papers
2002s-91, CIRANO.
[Downloadable!]
Other versions:ANDERSEN, Torben G. & BOLLERSLEV, Tim & MEDDAHI, Nour, 2002.
"Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities ,"
Cahiers de recherche
2002-21, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Andersen, T.G. & Bollerslev, T. & Meddahi, N., 2002.
"Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities ,"
Cahiers de recherche
21-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
University of California at Los Angeles, Anderson Graduate School of Management
1155, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Other versions:Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
NBER Working Papers
10913, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2003s-26, CIRANO.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"There is a Risk-Return Tradeoff After All ,"
CIRANO Working Papers
2004s-24, CIRANO.
[Downloadable!]
Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003.
"Power variation & stochastic volatility: a review and some new results ,"
Economics Papers
2003-W19, Economics Group, Nuffield College, University of Oxford.
[Downloadable!]
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
CIRANO Working Papers
2004s-20, CIRANO.
[Downloadable!]
Nour Meddahi, 2002.
"ARMA Representation of Two-Factor Models ,"
CIRANO Working Papers
2002s-92, CIRANO.
[Downloadable!]
Elena Andreou & Eric Ghysels, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests ,"
CIRANO Working Papers
2004s-25, CIRANO.
[Downloadable!]
B. Jungbacker & S.J. Koopman, 2005.
"Model-based Measurement of Actual Volatility in High-Frequency Data ,"
Tinbergen Institute Discussion Papers
05-002/4, Tinbergen Institute.
[Downloadable!]
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!]
Asger Lunde & Peter Reinhard Hansen, 2004.
"Realized Variance and IID Market Microstructure Noise ,"
Econometric Society 2004 North American Summer Meetings
526, Econometric Society.
[Downloadable!]
Stapf, Jelena & Werner, Thomas, 2003.
"How wacky is the DAX? The changing structure of German stock market volatility ,"
Discussion Paper Series 1: Economic Studies
2003,18, Deutsche Bundesbank, Research Centre.
[Downloadable!]
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!]
Other versions: Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002.
"Analytic Evaluation of Volatility Forecasts ,"
CIRANO Working Papers
2002s-90, CIRANO.
[Downloadable!]
Other versions:
Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999.
"A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation ,"
CIRANO Working Papers
99s-48, CIRANO.
[Downloadable!] Cited by:
Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999.
"Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think ,"
Center for Financial Institutions Working Papers
00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
John M. Maheu & Thomas H. McCurdy, 2001.
"Nonlinear Features of Realized FX Volatility ,"
CIRANO Working Papers
2001s-42, CIRANO.
[Downloadable!]
Other versions: Das, Sanjiv Ranjan & Uppal, Raman, 2002.
"Systemic Risk and International Portfolio Choice ,"
CEPR Discussion Papers
3305, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Stefano Galluccio & Yann Le Cam, 2005.
"Implied Calibration of Stochastic Volatility Jump Diffusion Models ,"
Finance
0510028, EconWPA.
[Downloadable!]
Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005.
"Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options ,"
NBER Working Papers
11861, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Nour Meddahi, 2001.
"An Eigenfunction Approach for Volatility Modeling ,"
CIRANO Working Papers
2001s-70, CIRANO.
[Downloadable!]
Jingzhi Huang & Liuren Wu, 2004.
"Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes ,"
Finance
0401002, EconWPA.
[Downloadable!]
Other versions:
Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999.
"Seasonal Nonstationarity and Near-Nonstationarity ,"
CIRANO Working Papers
99s-05, CIRANO.
[Downloadable!] Cited by:
Paulo Rodrigues & Philip Franses, 2005.
"A sequential approach to testing seasonal unit roots in high frequency data ,"
Journal of Applied Statistics ,
Taylor and Francis Journals, vol. 32(6), pages 555-569, August.
[Downloadable!] (restricted)
Other versions: Patrice Roussel & Michel Tremblay, 1999.
"Modelling the Role of Organizational Justice: Effects on Satisfaction and Unionization Propensity of Canadian Managers ,"
CIRANO Working Papers
99s-16, CIRANO.
[Downloadable!]
John Galbraith, 1999.
"Content Horizons for Forecasts of Economic Time Series ,"
CIRANO Working Papers
99s-17, CIRANO.
[Downloadable!]
Other versions: Jérôme Foulon & Paul Lanoie & Benoit Laplante, 1999.
"Incentives for Pollution Control: Regulation or (and?) Information ,"
CIRANO Working Papers
99s-11, CIRANO.
[Downloadable!]
Artur C. B. da Silva Lopes & Antonio Montañés, 2004.
"The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts ,"
Econometrics
0411010, EconWPA.
[Downloadable!]
Ngo Van Long & Antoine Soubeyran, 1999.
"Cost Manipulation Games in Oligopoly, with Costs of Manipulating ,"
CIRANO Working Papers
99s-13, CIRANO.
[Downloadable!]
Other versions:Long, Ngo Van & Soubeyran, Antoine, 2001.
"Cost Manipulation Games in Oligopoly, with Costs of Manipulating ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(2), pages 505-33, May.
Mikhail Chernov & Eric Ghysels, 1998.
"What Data Should Be Used to Price Options? ,"
CIRANO Working Papers
98s-22, CIRANO.
[Downloadable!] Cited by:
Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility ,"
Center for Financial Institutions Working Papers
99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Other versions: Darrell Duffie & Jun Pan & Kenneth Singleton, 1999.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions ,"
NBER Working Papers
7105, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000.
"Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance ,"
Working Papers. Serie AD
2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Other versions:
Myles Callan & Eric Ghysels & Norman R. Swanson, 1998.
"Monetary Policy Rules with Model and Data Uncertainty ,"
CIRANO Working Papers
98s-40, CIRANO.
[Downloadable!] Cited by:
Rossi, Barbara & Giacomini, Raffaella, 2006.
"Detecting and Predicting Forecast Breakdowns ,"
Working Papers
06-01, Duke University, Department of Economics.
[Downloadable!]
Other versions: Söderström, Ulf, 1999.
"Should central banks be more aggressive? ,"
Working Paper Series
84, Sveriges Riksbank (Central Bank of Sweden).
[Downloadable!]
Other versions:
Eric Ghysels & Serena Ng, 1998.
"A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure ,"
Boston College Working Papers in Economics
403, Boston College Department of Economics.
[Downloadable!] Other versions: Published as: Cited by:
Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001.
"An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices ,"
NBER Working Papers
8682, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003.
"An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices ,"
Journal of Econometrics ,
Elsevier, vol. 116(1-2), pages 113-146.
[Downloadable!] (restricted)
D H Kim, 2005.
"Nonlinearity in the Term Structure ,"
Centre for Growth and Business Cycle Research Discussion Paper Series
51, Economics, The Univeristy of Manchester.
[Downloadable!]
Dong Heon Kim, 2004.
"Nonlinearity in the Term Structure ,"
Econometric Society 2004 Far Eastern Meetings
440, Econometric Society.
[Downloadable!]
Other versions: D H Kim, 2004.
"Nonlinearity in the Term Structure ,"
The School of Economics Discussion Paper Series
0401, Economics, The University of Manchester.
[Downloadable!]
René Garcia & Eric Ghysels & Éric Renault, 2004.
"The Econometrics of Option Pricing ,"
CIRANO Working Papers
2004s-04, CIRANO.
[Downloadable!]
Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004.
"Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing ,"
Faculty Working Papers
03/04, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Other versions: Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002.
"Alternative Models for Stock Price Dynamics ,"
CIRANO Working Papers
2002s-58, CIRANO.
[Downloadable!]
Other versions:
Eric Ghysels & Alain Guay, 1998.
"Structural Change Tests for Simulated Method of Moments ,"
CIRANO Working Papers
98s-19, CIRANO.
[Downloadable!] Other versions: Published as: Cited by:
Eric Ghysels & Alain Guay, 2001.
"Testing for Structural Change in the Presence of Auxiliary Models ,"
CIRANO Working Papers
2001s-54, CIRANO.
[Downloadable!]
Other versions:Eric Ghysels & Alain Guay, 2001.
"Testing for Structural Change in the Presence of Auxiliary Models ,"
Cahiers de recherche CREFE / CREFE Working Papers
133, CREFE, Université du Québec à Montréal.
[Downloadable!]
Ghysels, Eric & Guay, Alain, 2004.
"Testing For Structural Change In The Presence Of Auxiliary Models ,"
Econometric Theory ,
Cambridge University Press, vol. 20(06), pages 1168-1202, December.
[Downloadable!]
Alain Guay & Olivier Scaillet, 1999.
"Indirect Inference, Nuisance Parameter and Threshold Moving Average ,"
Cahiers de recherche CREFE / CREFE Working Papers
95, CREFE, Université du Québec à Montréal.
[Downloadable!]
Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing ,"
CIRANO Working Papers
97s-19, CIRANO.
[Downloadable!] Other versions: Cited by:
René Garcia & Ramazan Gençay, 1998.
"Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint ,"
CIRANO Working Papers
98s-35, CIRANO.
[Downloadable!]
Other versions: René Garcia & Eric Ghysels & Éric Renault, 2004.
"The Econometrics of Option Pricing ,"
CIRANO Working Papers
2004s-04, CIRANO.
[Downloadable!]
Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997.
"Seasonal Adjustment and Volatility Dynamics ,"
CIRANO Working Papers
97s-39, CIRANO.
[Downloadable!] Cited by:
Élise Cormier & Jean-Marc Suret, 1997.
"Le régime d'épargne-actions du Québec : Vue d'ensemble et évaluation ,"
CIRANO Working Papers
97s-16, CIRANO.
[Downloadable!]
René Garcia & Eric Ghysels, 1996.
"Structural Change and Asset Pricing in Emerging Markets ,"
CIRANO Working Papers
96s-34, CIRANO.
[Downloadable!] Published as: Cited by:
Raphael Markellos & Terence Mills, 2003.
"Asset pricing dynamics ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 9(6), pages 533-556, December.
[Downloadable!] (restricted)
Eric Ghysels, 1995.
"On Stable Factor Structures in the Pricing of Risk ,"
CIRANO Working Papers
95s-16, CIRANO.
[Downloadable!]
Other versions:Ghysels, E., 1995.
"On Stable Factor Structurs in the Pricing of Risk ,"
Cahiers de recherche
9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E., 1995.
"On Stable Factor Structurs in the Pricing of Risk ,"
Cahiers de recherche
9525, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Marco Antonio Bonomo & Rene Garcia, 1997.
"Tests of conditional asset pricing models in the Brazilian stock market ,"
Textos para discussão
368, Department of Economics PUC-Rio (Brazil).
[Downloadable!]
Other versions:Bonomo, M. & Garcia, R., 1997.
"Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market ,"
Cahiers de recherche
9715, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Marco Bonomo & René Garcia, 1997.
"Tests of Conditional Asset Pricing Models in the Brazilian Stock Market ,"
CIRANO Working Papers
97s-20, CIRANO.
[Downloadable!]
BONOMO, Marco & GARCIA, René, 1997.
"Tests of Conditional Asset Pricing Models in the Brazilian Stock Market ,"
Cahiers de recherche
9715, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Garcia Junior, Renê & Bonomo, Marco Antonio Cesar, 1999.
"Tests of Conditional Asset Pricing Models in the Brazilian Stock Market ,"
Economics Working Papers (Ensaios Economicos da EPGE)
350, Graduate School of Economics, Getulio Vargas Foundation (Brazil).
Garcia, Rene & Bonomo, Marco, 2001.
"Tests of conditional asset pricing models in the Brazilian stock market ,"
Journal of International Money and Finance ,
Elsevier, vol. 20(1), pages 71-90, February.
[Downloadable!] (restricted)
BONOMO, Marco & GARCIA, René, 1997.
"Tests of Conditional Asset Pricing Models in the Brazilian Stock Market ,"
Cahiers de recherche
1997, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Henry Aray, 2006.
"The Latin American and Spanish Stock markets ,"
ThE Papers
06/12, Department of Economic Theory and Economic History of the University of Granada..
[Downloadable!]
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: Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998.
"Dating the Integration of World Equity Markets ,"
NBER Working Papers
6724, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Alexei Goriaev & Alexei Zabotkin, 2006.
"Risks of investing in the Russian stock market: Lessons of the first decade ,"
Working Papers
w0077, Center for Economic and Financial Research (CEFIR).
[Downloadable!]
Other versions:
Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996.
"Nonparametric Estimation of American Options Exercise Boundaries and Call Prices ,"
CIRANO Working Papers
96s-24, CIRANO.
[Downloadable!] Published as:
Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"Nonparametric estimation of American options' exercise boundaries and call prices ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(11-12), pages 1829-1857, October.
[Downloadable!] (restricted) Cited by:
René Garcia & Ramazan Gençay, 1998.
"Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint ,"
CIRANO Working Papers
98s-35, CIRANO.
[Downloadable!]
Other versions: Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996.
"American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation ,"
CIRANO Working Papers
96s-26, CIRANO.
[Downloadable!]
Other versions: René Garcia & Eric Ghysels & Éric Renault, 2004.
"The Econometrics of Option Pricing ,"
CIRANO Working Papers
2004s-04, CIRANO.
[Downloadable!]
Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004.
"Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing ,"
Faculty Working Papers
03/04, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Other versions: Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997.
"Nonparametric Methods and Option Pricing ,"
CIRANO Working Papers
97s-19, CIRANO.
[Downloadable!]
Other versions: Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005.
"A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics ,"
SFB 649 Discussion Papers
SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996.
"Arbitrage Based Pricing When Volatility Is Stochastic ,"
CIRANO Working Papers
96s-20, CIRANO.
[Downloadable!] Other versions:
Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996.
"Arbitrage-Based Pricing when Volatility is Stochastic ,"
Cahiers de recherche
9615, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996.
"Arbitrage-Based Pricing when Volatility is Stochastic ,"
Cahiers de recherche
9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996.
"Arbitrage-Based Pricing When Volatility is Stochastic ,"
Papers
9641, Institut National de la Statistique et des Etudes Economiques-.
Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996.
"Arbitrage-Based Pricing When Volatility is Stochastic ,"
Working Papers
977, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!] Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996.
"Arbitrage-Based Pricing When Volatility is Stochastic ,"
Working Papers
9641, Centre de Recherche en Economie et Statistique.
Cited by:
Amigues, J-P & Favard, P, Gaudet, G & Moreaux, M, 1996.
"On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited ,"
Cahiers de recherche
9628, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Other versions:Amigues, J.-P. & Favard, P. & Gaudet, G. & Moreaux, M., 1996.
"On The Optimal Order of Natural Resourse Use When the Capacity of the Inexhaustible Substitute is Limited ,"
Papers
96.431, Toulouse - GREMAQ.
Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998.
"On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited ,"
Journal of Economic Theory ,
Elsevier, vol. 80(1), pages 153-170, May.
[Downloadable!] (restricted)
Amigues, J-P & Favard, P, Gaudet, G & Moreaux, M, 1996.
"On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited ,"
Cahiers de recherche
9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996.
"American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation ,"
CIRANO Working Papers
96s-26, CIRANO.
[Downloadable!] Published as: Cited by:
Manuel Ammann & Axel Kind & Christian Wilde, 2005.
"Simulation-Based Pricing of Convertible Bonds ,"
Finance
0507015, EconWPA.
[Downloadable!]
Other versions: René Garcia & Ramazan Gençay, 1998.
"Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint ,"
CIRANO Working Papers
98s-35, CIRANO.
[Downloadable!]
Other versions: Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007.
"A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation ,"
Monash Econometrics and Business Statistics Working Papers
11/07, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Jérôme B. Detemple & Carlton Osakwe, 1999.
"The Valuation of Volatility Options ,"
CIRANO Working Papers
99s-43, CIRANO.
[Downloadable!]
René Garcia & Eric Ghysels & Éric Renault, 2004.
"The Econometrics of Option Pricing ,"
CIRANO Working Papers
2004s-04, CIRANO.
[Downloadable!]
Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996.
"Nonparametric Estimation of American Options Exercise Boundaries and Call Prices ,"
CIRANO Working Papers
96s-24, CIRANO.
[Downloadable!]
Other versions:Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"Nonparametric estimation of American options' exercise boundaries and call prices ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(11-12), pages 1829-1857, October.
[Downloadable!] (restricted)
Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005.
"A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics ,"
SFB 649 Discussion Papers
SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin