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Citations for "Alternative Models For Conditional Stock Volatility"

by Adrian R. Pagan & G. William Schwert

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  1. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  2. Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
  3. Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011. "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-25, March.
  4. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  5. Kieran Burgess & Nicholas Rohde, 2013. "Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data," Economics Bulletin, AccessEcon, vol. 33(1), pages 511-518.
  6. Covarrubias, Guillermo & Ewing, Bradley T. & Hein, Scott E. & Thompson, Mark A., 2006. "Modeling volatility changes in the 10-year Treasury," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 737-744.
  7. BEINE, Michel & LAURENT, Sébastien & LECOURT, Christelle, . "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," CORE Discussion Papers RP -1705, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 154-183.
  9. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 292-308.
  10. Chng, Michael & Gannon, Gerard, 2003. "Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 49-68.
  11. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  12. West,K.D., 1999. "Encompassing tests when no model is encompassing," Working papers, Wisconsin Madison - Social Systems 36, Wisconsin Madison - Social Systems.
  13. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
  14. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 45(4), pages 1129-55, September.
  15. Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(3), pages 309-329, June.
  16. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  17. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  18. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc.
  19. Ahmed Bensaida, 2012. "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pages 51-64, July.
  20. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(3-4), pages 389-416, November.
  21. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, Springer, vol. 154(2), pages 177-195, June.
  22. Xu, Ke-Li & Phillips, Peter C. B., 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 29(4), pages 518-528.
  23. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper, Tilburg University, Center for Economic Research 1991-68, Tilburg University, Center for Economic Research.
  24. Oliver Linton & Enno Mammen, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
  25. Marquering, W.A. & Verbeek, M.J.C.M., 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2001-75-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  26. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers, University of Crete, Department of Economics 0607, University of Crete, Department of Economics.
  27. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 107, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Society for Computational Economics, vol. 34(4), pages 323-364, November.
  29. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  30. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  31. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 401-419.
  32. Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, Elsevier, vol. 107(1-2), pages 291-312, March.
  33. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, Elsevier, vol. 101(2), pages 257-294, April.
  34. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  35. repec:wyi:journl:002068 is not listed on IDEAS
  36. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004, Society for Computational Economics 124, Society for Computational Economics.
  37. Ibrahim, Boulis Maher & Brzeszczynski, Janusz, 2009. "Inter-regional and region-specific transmission of international stock market returns: The role of foreign information," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(2), pages 322-343, March.
  38. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
  39. G.R. Pasha & Tahira Qasim & Muhammad Aslam, 2007. "Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
  40. Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, Elsevier, vol. 31(5), pages 779-788, September.
  41. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
  42. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  43. Lien, Donald & Yang, Li, 2004. "Alternative settlement methods and Australian individual share futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(5), pages 473-490, December.
  44. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 511-523, December.
  45. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  46. Milan Rippel & Ivo Jánský, 2011. "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2011/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
  47. Chiang, Thomas C. & Kim, Doseong & Lee, Euiseong, 2006. "Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility," Journal of Economics and Business, Elsevier, Elsevier, vol. 58(4), pages 303-322.
  48. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers.
  49. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(6), pages 591-596.
  50. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  51. Jun Yu, 2008. "A Semiparametric Stochastic Volatility Model," Working Papers CoFie-04-2008, Sim Kee Boon Institute for Financial Economics.
  52. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
  53. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, Elsevier, vol. 33(5), pages 948-955, September.
  54. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  55. Klaassen, F.J.G.M., 1999. "Purchasing Power Parity: Evidence from a New Test," Discussion Paper, Tilburg University, Center for Economic Research 1999-09, Tilburg University, Center for Economic Research.
  56. Essahbi Essaadi & Mohamed Boutahar, 2010. "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Economics Bulletin, AccessEcon, vol. 30(2), pages 1054-1070.
  57. Xiaotong Wang & Heng-fu Zou, 2008. "Stock Return Dynamics under Earnings Management," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 331, China Economics and Management Academy, Central University of Finance and Economics.
  58. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp09-11, School of Economics, University of Wollongong, NSW, Australia.
  59. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(3), pages 283-308, September.
  60. Mckenzie, Michael D., 1998. "The impact of exchange rate volatility on Australian trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(1), pages 21-38, January.
  61. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, Elsevier, vol. 4(2), pages 197-223, June.
  62. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
  63. Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Banco de Espa�a Working Papers 1232, Banco de Espa�a.
  64. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 719-752, October.
  65. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 207-233, April.
  66. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
  67. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  68. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(2), pages 139-51, April.
  69. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
  70. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August.
  71. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 38(2), pages 167-180.
  72. Mark Kamstra & Lisa Kramer & Maurice Levi, 2002. "Winter blues: a SAD stock market cycle," Working Paper, Federal Reserve Bank of Atlanta 2002-13, Federal Reserve Bank of Atlanta.
  73. repec:wop:ubisop:0002 is not listed on IDEAS
  74. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  75. Daniel Ventosa, . "A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang," UFAE and IAE Working Papers 513.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  76. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(10), pages 1381-1404, September.
  77. GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  78. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  79. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 43-76, January.
  80. Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 41(2), pages 170-192, August.
  81. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A Regime-Switching Approach," Working Papers 201448, University of Pretoria, Department of Economics.
  82. Diamandis, Panayiotis F. & Drakos, Anastassios A. & Kouretas, Georgios P. & Zarangas, Leonidas, 2011. "Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 165-176, June.
  83. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  84. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, Elsevier, vol. 99(2), pages 195-223, December.
  85. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
  86. Kin Lam & Li Wei, . "Optimal Trading Strategy When Return Process is AR(1)," Computing in Economics and Finance 1997 16, Society for Computational Economics.
  87. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, Elsevier, vol. 86(2), pages 369-386, June.
  88. Carles Bretó & Helena Veiga, 2011. "Forecasting volatility: does continuous time do better than discrete time?," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws112518, Universidad Carlos III, Departamento de Estadística y Econometría.
  89. William N. Goetzmann & ROGER G. IBBOTSON & LIANG PENG, 2004. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers, Yale School of Management ysm5, Yale School of Management.
  90. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, Springer, vol. 4(4), pages 403-423, December.
  91. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
  92. repec:hal:journl:halshs-00259225 is not listed on IDEAS
  93. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
  94. Kang-Soek Lee & Philippe Saucier, 2005. "La coopération monétaire régionale est-elle un préalable à l'intégration commerciale de l'Asie ?," Mondes en développement, De Boeck Université, De Boeck Université, vol. 130(2), pages 95-110.
  95. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, Elsevier, vol. 93(1), pages 205-223, August.
  96. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 312-326, January.
  97. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics, EconWPA 0411014, EconWPA, revised 09 Dec 2004.
  98. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, 06.
  99. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, Elsevier, vol. 6(3), pages 138-151, September.
  100. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 169, Quantitative Finance Research Centre, University of Technology, Sydney.
  101. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 36(1), pages 127-154, August.
  102. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  103. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
  104. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  105. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(1), pages 17-46, January.
  106. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  107. PERRON, Benoît, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9912, Universite de Montreal, Departement de sciences economiques.
  108. repec:lan:wpaper:592830 is not listed on IDEAS
  109. 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.
  110. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws062509, Universidad Carlos III, Departamento de Estadística y Econometría.
  111. H. L. Leon & DeLisle Worrell, 2001. "Price Volatility and Financial Instability," IMF Working Papers 01/60, International Monetary Fund.
  112. 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, Center for Policy Research, Maxwell School, Syracuse University 34, Center for Policy Research, Maxwell School, Syracuse University.
  113. Maitra Debasish & Dey Kushankur, 2011. "Volatility And Spill Over Effects In Indian Commodity Markets: A Case Of Pepper," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 6(3), pages 119-145, December.
  114. Episcopos, Athanasios, 1995. "Evidence on the relationship between uncertainty and irreversible investment," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 35(1), pages 41-52.
  115. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 178-212, October.
  116. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
  117. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 557-580.
  118. Pérez Rodríguez, Jorge V. & Murillo Fort, Carlos, 1997. "Contrastes de especificación para los modelos de varianza Heterocedástica condicionada," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 7, pages 101-129, Junio.
  119. Durand, Robert B. & Scott, Douglas, 2003. "iShares Australia: a clinical study in international behavioral finance," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 223-239.
  120. Perez-Quiros, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, Elsevier, vol. 103(1-2), pages 259-306, July.
  121. G. William Schwert, 2001. "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers 8436, National Bureau of Economic Research, Inc.
  122. Arie Preminger & Uri Ben-Zion & David Wettstein, 2006. "Extended switching regression models with time-varying probabilities for combining forecasts," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 455-472.
  123. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47.
  124. Brooks, R & Davidson, S & Faff, R, 1997. "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers, Melbourne - Centre in Finance 97-4, Melbourne - Centre in Finance.
  125. Kofman, Paul & Martens, Martin, 1997. "Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(3), pages 387-414, June.
  126. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation for Research in Economics, Yale University.
  127. Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
  128. Syriopoulos, Theodore, 2006. "Risk and return implications from investing in emerging European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 16(3), pages 283-299, July.
  129. Kim Liow & Muhammad Ibrahim, 2010. "Volatility Decomposition and Correlation in International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 40(2), pages 221-243, February.
  130. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
  131. Michail Karoglou & Panicos Demetriades & Siong Law, 2011. "One date, one break?," Empirical Economics, Springer, Springer, vol. 41(1), pages 7-24, August.
  132. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  133. Klaassen, F.J.G.M., 1999. "Long Swings in Exchange Rates: Are They Really in the Data?," Discussion Paper, Tilburg University, Center for Economic Research 1999-08, Tilburg University, Center for Economic Research.
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  135. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
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