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Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects

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Author Info
Ghysels, E.
Jasiak, J.

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9403.

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Length: ; 35 pages
Date of creation: 1994
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Handle: RePEc:mtl:montde:9403

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Keywords: RISK CONTRACTS

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  1. 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)
  2. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO. [Downloadable!]
    Other versions:
  3. Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO. [Downloadable!]
    Other versions:
  4. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO. [Downloadable!]
  5. 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:
  6. Margolis, D..N., 1995. "Firm Heterogeneity and Worker Self-Selection Bias Estimated Returns to Seniority," Cahiers de recherche 9502, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  7. Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4), pages 19-32. [Downloadable!] (restricted)
  8. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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  9. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO. [Downloadable!]
  10. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
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  11. 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:
  12. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics. [Downloadable!]
  13. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
  14. Eric Ghysels & Joanna Jasiak, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(4), pages 133-149. [Downloadable!] (restricted)
  15. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO. [Downloadable!]
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This page was last updated on 2008-9-30.

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