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Citations for "Parametric and Nonparametric Volatility Measurement"

by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

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  1. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund.
  2. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  3. 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., John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
  4. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(6), pages 931-966, June.
  5. Anisha Ghosh & Oliver Linton, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," Economics Working Papers we094928, Universidad Carlos III, Departamento de Economía.
  6. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  7. Michael W. Brandt & Francis X. Diebold, 2001. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive 03-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2003.
  8. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers, CIRANO 2004s-26, CIRANO.
  9. Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc.
  10. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  11. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, Elsevier, vol. 144(1), pages 234-256, May.
  12. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, Elsevier, vol. 49(3), pages 531-560, April.
  13. 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," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 21-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  14. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers 2009-52, School of Economics and Management, University of Aarhus.
  15. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  16. Laarni Bulan & Christopher J. Mayer & C. Tsuriel Somerville, 2006. "Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development," NBER Working Papers 12486, National Bureau of Economic Research, Inc.
  17. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  18. Hao Zhou & Tim Bollerslev & Michael Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  19. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers, CIRANO 2004s-04, CIRANO.
  20. Henker, Thomas & Husodo, Zaäfri A., 2010. "Noise and efficient variance in the Indonesia Stock Exchange," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 18(2), pages 199-216, April.
  21. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(15), pages 1075-1085.
  22. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 175, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," BORRADORES DE ECONOMIA 002605, BANCO DE LA REPÚBLICA.
  24. 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.
  25. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford.
  26. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identi�cation of jumps in �financial price series," MPRA Paper 30977, University Library of Munich, Germany.
  27. 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.
  28. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(18), pages 1333-1342.
  29. 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.
  30. Haselmann, Rainer & Helmut, Herwartz, 2005. "The Introduction of the Euro and its Effects on Investment Decisions," Economics Working Papers 2005,15, Christian-Albrechts-University of Kiel, Department of Economics.
  31. Werner, Thomas & Stapf, Jelena, 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.
  32. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series, European Central Bank 0859, European Central Bank.
  33. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-69, Board of Governors of the Federal Reserve System (U.S.).
  34. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers, CIRANO 2002s-02, CIRANO.
  35. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 323-349, December.
  36. Frowin Schulz & Karl Mosler, 2011. "The effect of infrequent trading on detecting price jumps," AStA Advances in Statistical Analysis, Springer, Springer, vol. 95(1), pages 27-58, March.
  37. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers, University of Washington, Department of Economics UWEC-2009-01, University of Washington, Department of Economics.
  38. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
  39. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center 12-4, Galatasaray University Economic Research Center.
  40. Brousseau, Vincent & Durré, Alain, 2013. "Interest rate volatility: a consol rate-based measure," Working Paper Series, European Central Bank 1505, European Central Bank.