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Citations for "Persistence in Variance, Structural Change, and the GARCH Model"

by Lamoureux, Christopher G & Lastrapes, William D

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Cited by (explanations, 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.):
  1. 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!]
  2. Maurizio Michael Habib, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," International Finance 0209004, EconWPA. [Downloadable!]
  3. Tom A. FEARNLEY, 2002. "Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts," FAME Research Paper Series rp97, International Center for Financial Asset Management and Engineering. [Downloadable!]
  4. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct. [Downloadable!]
  6. Nikolaos Panigirtzoglou & James Proudman & John Spicer, . "Persistence and volatility in short-term interest rates," Bank of England working papers 116, Bank of England. [Downloadable!]
  7. Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008. "Is Volatility Good for Growth? Evidence from the G7," Centre for Growth and Business Cycle Research Discussion Paper Series 97, Economics, The Univeristy of Manchester. [Downloadable!]
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  8. Altissimo, Filippo & Violante, Giovanni L, 2000. "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers 2475, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  9. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  10. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]
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  11. Rita De Siano, 2000. "Financial Variables As Leading Indicators: An Application To The G7 Countries," Working Papers 6_2000, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
  12. João Victor Issler, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  13. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Panicos Demetriades & Michail Karoglou & Siong Hook Law, 2006. "Financial Liberalisation and Breaks in Stock Market Volatility," Discussion Papers in Economics 06/13, Department of Economics, University of Leicester, revised Nov 2006. [Downloadable!]
  15. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics. [Downloadable!]
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  16. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The Univeristy of Manchester. [Downloadable!]
  17. Sebastian Edwards & Raúl Susmel, 1999. "Contagion and Volatility in the 1990s," CEMA Working Papers: Serie Documentos de Trabajo. 153, Universidad del CEMA. [Downloadable!]
  18. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2005. "On the Structural Stability of U.S. GDP," Working Papers 214, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
  19. Juan Luis Nicolau, 2001. "Parametric And Nonparametric Approaches To Event Studies: An Application To A Hotel'S Market Value," Working Papers. Serie AD 2001-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  20. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics. [Downloadable!]
  21. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  22. 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!]
  23. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics, Finance and Accounting Department Working Paper Series n1480105, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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  24. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
  25. Habib, Maurizio Michael, 2002. "Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe," BOFIT Discussion Papers 7/2002, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
  26. Christian Jochum, 2001. "Is the covariance of international stock market returns regime dependent?," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 247-268, September. [Downloadable!] (restricted)
  27. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
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  28. 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!]
  29. Thomas Kaiser, 1996. "One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -," Econometrics 9612007, EconWPA. [Downloadable!]
  30. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO. [Downloadable!]
  31. Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  32. Philip Arestis & Kostas Mouratidis, 2002. "Credibility of EMS Interest Rate Policies: A Markov Regime-Switching Approach," Economics Working Paper Archive 361, Levy Economics Institute, The. [Downloadable!]
  33. F. Carsoule & Ph.H.B.F. Franses, 1999. "Monitoring structural change in variance, with an application to European nominal exchange rate volatility," Econometric Institute Report 154, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  34. 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!]
  35. Tung Liu & Gary Santoni & Courtenay Cliff Stone, 2005. "Federal Securities Regulations and Stock Market Returns," Working Papers 200501, Ball State University, Department of Economics, revised Jan 2005. [Downloadable!]
  36. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, EconWPA. [Downloadable!]
  37. Shinn-Juh Lin & Jian Yang, 2000. "Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach," Econometric Society World Congress 2000 Contributed Papers 0063, Econometric Society. [Downloadable!]
  38. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  39. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics working papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  40. René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO. [Downloadable!]
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  41. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance 9609002, EconWPA. [Downloadable!]
  42. Baele, L., 2003. "Volatility spillover effects in European equity markets," Discussion Paper 114, Tilburg University, Center for Economic Research. [Downloadable!]
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  43. 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!]
  44. 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!]
  45. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
  46. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
  47. Michael Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis. [Downloadable!]
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  48. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering. [Downloadable!]
  49. Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001. "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers 01-029/4, Tinbergen Institute. [Downloadable!]
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  50. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  51. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
  52. Viviana Fernandez, 2004. "Detection of Breakpoints in Volatility," Documentos de Trabajo 194, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  53. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
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  54. Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  55. Viviana Fernandez, 2005. "Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts," Documentos de Trabajo 215, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
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  56. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003. [Downloadable!]
  57. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA. [Downloadable!]
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  58. Giampiero Gallo & Barbara Pacini, 1998. "Early News is Good News: The Effects of Market Opening on Market Volatility," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(4), pages 1034-1034. [Downloadable!] (restricted)
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  59. Sebastian Edwards & Raul Susmel, 2001. "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers 8506, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  60. Caiado, Jorge, 2004. "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper 2077, University Library of Munich, Germany. [Downloadable!]
  61. 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)
  62. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
  63. Philip Arestis & Kostas Mouratidis, 2003. "Credibility of Monetary Policy in Four Accession Countries: A Markov Regime-Switching Approach," Economics Working Paper Archive 371, Levy Economics Institute, The. [Downloadable!]
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  64. Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, . "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, University Dortmund, revised May 2006. [Downloadable!]
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  65. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2), pages 1411-1411. [Downloadable!] (restricted)
  66. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  67. Christiansen, Charlotte, 2002. "Regime Switching in the Yield Curve," Finance Working Papers 02-13, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  68. Takayuki Shiohama, 2006. "Asymptotically Efficient Estimation of the Change Point for Semiparametric GARCH models," Discussion Paper Series a471, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  69. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  70. Sebastian Edwards, 2000. "Interest Rates, Contagion and Capital Controls," NBER Working Papers 7801, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  71. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  72. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December. [Downloadable!] (restricted)
  73. Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  74. Klaassen, F., 1998. "Improving garch volatility forecasts," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
  75. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]
  76. Christiansen, Charlotte, 2001. "Long Maturity Forward Rates," Finance Working Papers 01-12, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  77. 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!]
  78. Viviana Fernandez & Brian M. Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," The Institute for International Integration Studies Discussion Paper Series iiisdp131, IIIS. [Downloadable!]
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  79. Viviana Fernandez, 2005. "Structural Breakpoints in Volatility in International Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp076, IIIS. [Downloadable!]
  80. Guglielmo Maria Caporale & Nikitas Pittis & Nicola Spagnolo, 2003. "IGARCH models and structural breaks," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 765-768, October. [Downloadable!] (restricted)
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This page was last updated on 2008-7-17.

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