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Marcel P. Visser


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Personal Details

First Name: Marcel
Middle Name: P.
Last Name: Visser

RePEc Short-ID: pvi113

Email: [This author has chosen not to make the email address public]

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Postal Address:


Universiteit van Amsterdam, Faculty of Science, Korteweg-de Vries Institute for Mathematics
Location: The Netherlands, Amsterdam


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Working papers

  1. 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.
  2. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
  3. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
  4. Robin De Vilder & Marcel P. Visser, 2007. "Proxies for daily volatility," PSE Working Papers halshs-00588307, HAL.


  1. Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 162-197, Winter.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2007-09-24 2008-06-21. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2007-09-24 2008-06-21 2008-10-21. Author is listed
  3. NEP-FOR: Forecasting (1) 2008-10-21. Author is listed
  4. NEP-MST: Market Microstructure (3) 2007-09-24 2008-06-21 2008-10-21. Author is listed
  5. NEP-ORE: Operations Research (2) 2008-06-21 2008-10-21. Author is listed
  6. NEP-RMG: Risk Management (1) 2008-10-21. Author is listed


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