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Citations for "Volatility Forecasting"

by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

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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. Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO. [Downloadable!]
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  2. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
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  3. Courtenay, Roger & Clare, Andrew, 2001. "What can we learn about monetary policy transparency from financial market data?," Discussion Paper Series 1: Economic Studies 2001,06, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  5. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers ws062509, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  6. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March. [Downloadable!] (restricted)
  7. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus. [Downloadable!]
  8. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 251-254, March. [Downloadable!] (restricted)
  9. 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. [Downloadable!] (restricted)
  10. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," CFS Working Paper Series 2005/02, Center for Financial Studies. [Downloadable!]
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  11. Andrew Clare & Roger Courtenay, . "Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes," Bank of England working papers 125, Bank of England. [Downloadable!]
  12. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
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  13. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  14. Ariño, Miguel A. & Canela, Miguel A., 2006. "Study of the dollar-euro exchange rate," IESE Research Papers D/620, IESE Business School, revised 30 Mar 2006. [Downloadable!]
  15. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
    ," Working Papers 07-20, Bank of Canada. [Downloadable!]
  16. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics. [Downloadable!]
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  17. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  18. SUCARRAT, Genaro, 2006. "The first stage in HendryÕs reduction theory revisited," CORE Discussion Papers 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  19. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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  20. Genaro, SUCARRAT, 2006. "The First Stage in HendryÕs Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
  21. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  22. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany. [Downloadable!]
  23. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May. [Downloadable!]
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  24. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
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  25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  26. Dagfinn Rime & Genaro Sucarrat, 2007. "Exchange rate variability, market activity and heterogeneity," Economics Working Papers we077039, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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This page was last updated on 2010-1-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.