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Citations for "Temporal aggregation of GARCH processes"

by Drost, F.C. & Nijman, T.E.

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  1. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, . "Multivariate GARCH models: a survey," CORE Discussion Papers RP -1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Hecq Alain & Laurent Sébastien & Palm Franz, 2011. "On the Univariate Representation of Multivariate Volatility Models with Common Factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Sim Kee Boon Institute for Financial Economics.
  4. Scotto, M. G., 2003. "A note on the asymptotic distribution of the maxima in disaggregated time-series models," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 127-137, November.
  5. repec:hal:journl:halshs-00118789 is not listed on IDEAS
  6. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
  7. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
  8. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Estimation of temporally aggregated multivariate GARCH models," CORE Discussion Papers 2003073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Martha Misas & Maria Teresa Ramirez & Luisa Fernanda Silva, 2001. "Exportaciones No Tradicionales En Colombia Y Sus Determinantes," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  10. Hafner, Christian M., 2008. "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January.
  11. MEDDAHI, Nour & RENAULT, Éric, 1998. "Quadratic M-Estimators for ARCH-Type Processes," Cahiers de recherche 9814, Universite de Montreal, Departement de sciences economiques.
  12. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
  13. Neil, Beattie & Fillion, Jean-François, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Working Papers 99-4, Bank of Canada.
  14. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
  15. Nijman, T. & Beetsma, R., 1990. "Empirical Tests Of A Simple Pricing Model For Sugar Futures," Papers 9068, Tilburg - Center for Economic Research.
  16. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
  17. 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.
  18. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
  19. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
  20. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
  21. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
  22. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 199-226, September.
  23. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 0859, European Central Bank.
  24. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
  25. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  26. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June.
  27. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-43, April.
  28. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  29. Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  30. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  31. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
  32. 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.
  33. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
  34. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
  35. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  36. Chan, W.S. & Cheung, S.H. & Zhang, L.X. & Wu, K.H., 2008. "Temporal aggregation of equity return time-series models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 172-180.
  37. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," CORE Discussion Papers 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  39. Liam Cheung & John Galbraith, 2013. "Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model," CIRANO Working Papers 2013s-19, CIRANO.
  40. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
  41. Esben Hedegaard & Robert J. Hodrick, 2014. "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers 19969, National Bureau of Economic Research, Inc.
  42. repec:pse:psecon:2007-11 is not listed on IDEAS
  43. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think," Center for Financial Institutions Working Papers 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
  44. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
  45. 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.
  46. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
  47. Batten, Jonathan & Craig Ellis, 2001. "Scaling Relationships of Gaussian Processes," Accounting, Finance, Financial Planning and Insurance Series 2001_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  48. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
  49. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  50. Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.
  51. repec:onb:oenbwp:y::i:86:b:1 is not listed on IDEAS
  52. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  53. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
  54. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
  55. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
  56. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
  57. Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
  58. Christian M. HAFNER & Helmut HERWARTZ, 2008. "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annales d'Economie et de Statistique, ENSAE, issue 89, pages 215-241.
  59. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  60. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  61. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.
  62. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  63. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
  64. Jurgen Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Series Working Papers 2003-W20, University of Oxford, Department of Economics.
  65. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  66. 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.
  67. Komunjer, Ivana, 2001. "Consistent Estimation for Aggregated GARCH," University of California at San Diego, Economics Working Paper Series qt1fp2v3q7, Department of Economics, UC San Diego.
  68. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
  69. Shu Ng & Edward Norton & David Guilkey & Barry Popkin, 2012. "Estimation of a dynamic model of weight," Empirical Economics, Springer, vol. 42(2), pages 413-443, April.
  70. Odening, Martin & Hinrichs, Jan, 2003. "Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 52(2).
  71. Paolo Zaffaroni, 2000. "Contemporaneous Aggregation of GARCH Processes," STICERD - Econometrics Paper Series /2000/378, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  72. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  73. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
  74. Lars Forsberg & Anders Eriksson, 2004. "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings 323, Econometric Society.
  75. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
  76. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," CORE Discussion Papers 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  77. Martha Misas & Maria Teresa Ramirez, 2004. "Long-run income and price elasticities of demand for Colombian nontraditional exports: a multivariate cointegration framework," Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 931-938.
  78. Odening, Martin & Hinrichs, Jan, 2002. "Assessment Of Market Risk In Hog Production Using Value-At-Risk And Extreme Value Theory," 2002 Annual meeting, July 28-31, Long Beach, CA 19907, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  79. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
  80. John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
  81. McMillan, David G. & Speight, Alan E. H., 2001. "Non-ferrous metals price volatility: a component analysis," Resources Policy, Elsevier, vol. 27(3), pages 199-207, September.
  82. 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.
  83. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
  84. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  85. 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.
  86. Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen, 2004. "Introducing a scale of market shocks," Finance 0407004, EconWPA.
  87. 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.
  88. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
  89. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
  90. Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009. "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 330-336, March.
  91. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  92. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
  93. Sacht, Stephen, 2014. "Analysis of various shocks within the high-frequency versions of the baseline New-Keynesian model," Economics Working Papers 2014-02, Christian-Albrechts-University of Kiel, Department of Economics.
  94. Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group.
  95. Zakoïan, Jean-Michel & Wintenberger, Olivier & Francq, Christian, 2013. "GARCH models without positivity constraints: Exponential or Log GARCH?," Economics Papers from University Paris Dauphine 123456789/10571, Paris Dauphine University.
  96. Catherine Doz & Éric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
  97. PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," CORE Discussion Papers 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  98. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  99. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
  100. Bao, Yong & Ullah, Aman, 2004. "Bias of a Value-at-Risk estimator," Finance Research Letters, Elsevier, vol. 1(4), pages 241-249, December.
  101. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
  102. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  103. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
  104. Cook, Steven, 2006. "The impact of GARCH on asymmetric unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 745-752.
  105. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
  106. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  107. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  108. HAFNER, Christian & HERWARTZ, Helmut, 2001. "Volatility impulse response functions for multivariate GARCH models," CORE Discussion Papers 2001039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  109. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  110. Fabio Araujo & Joao Victor Issler, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005 202, Society for Computational Economics.
  111. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December.
  112. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
  113. 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.
  114. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
  115. Macaro, Christian, 2010. "Bayesian non-parametric signal extraction for Gaussian time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 381-395, August.
  116. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  117. Kourentzes, Nikolaos & Petropoulos, Fotios & Trapero, Juan R., 2014. "Improving forecasting by estimating time series structural components across multiple frequencies," International Journal of Forecasting, Elsevier, vol. 30(2), pages 291-302.
  118. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  119. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
  120. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
  121. 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.
  122. Neil Shephard & Ole E. Barndorff-Nielsen, 1998. "Aggregation and model construction for volatility models," Economics Series Working Papers 1998-W07, University of Oxford, Department of Economics.
  123. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  124. 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.
  125. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
  126. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
  127. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  128. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, EconWPA, revised 10 Oct 2003.
  129. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  130. Angela Black & David McMillan, 2004. "Long run trends and volatility spillovers in daily exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 895-907.
  131. In-Bong Choi & Masanobu Taniguchi, 2003. "Prediction Problems for Square-Transformed Stationary Processes," Statistical Inference for Stochastic Processes, Springer, vol. 6(1), pages 43-64, January.
  132. 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.
  133. Arthur M. Berd, 2011. "The Nature of Alpha," Papers 1112.1114, arXiv.org.
  134. 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.
  135. Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
  136. Wing-Keung Wong & Guorui Bian, 2005. "Robust Estimation of Multiple Regression Model with asymmetric innovations and Its Applicability on Asset Pricing Model," Departmental Working Papers wp0508, National University of Singapore, Department of Economics.
  137. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
  138. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.
  139. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
  140. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
  141. David McMillan & Alan Speight, 2006. "Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 959-972.
  142. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Risk and Policy Analysis Unit Working Paper QAU08-4, Federal Reserve Bank of Boston.
  143. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, School of Economics and Management, University of Aarhus.
  144. Hecq Alain & Laurent Sébastien & Palm Franz C., 2012. "On the Univariate Representation of BEKK Models with Common Factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  145. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2010. "Aggregational Gaussianity And Barely Infinite Variance In Crop Prices," DEOS Working Papers 1001, Athens University of Economics and Business.
  146. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
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