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Citations for "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return"

by Bollerslev, Tim

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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. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. BRIO, Esther B. & PEROTE, Javier, 2008. "Forecasting Market Crashes: Does Density Specification Matter?," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 53-58. [Downloadable!] (restricted)
  3. Bruce S. Felmingham & Peter Mansfield, 1997. "Rationality And The Risk Premium On The Australian Dollar," International Economic Journal, Korean International Economic Association, vol. 11(3), pages 47-59, October. [Downloadable!] (restricted)
  4. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1993. "The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 4294, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Cornelis A. Los, 2005. "Measurement of Financial Risk Persistence," Finance 0502013, EconWPA. [Downloadable!]
  6. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
  7. Paola Palmitesta & Corrado Provasi, 2004. "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1212-1212. [Downloadable!] (restricted)
  8. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society. [Downloadable!]
  9. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Eun S. Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 777-784, July. [Downloadable!] (restricted)
  11. José R. Sánchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 247-250, March. [Downloadable!] (restricted)
  12. Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(4), pages 313-332, June. [Downloadable!] (restricted)
  13. Jesus Gonzalo & Jose Olmo, 2008. "Testing downside risk efficiency under market distress," Economics Working Papers we084321, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  14. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics. [Downloadable!]
  15. Margiora, Philippa & Panaretos, John, 2001. "Autoregressive Conditional Heteroskedasticity Models and the Dynamic Structure of the Athens Stock Exchange," MPRA Paper 6358, University Library of Munich, Germany. [Downloadable!]
  16. 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!]
  17. Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Economics Papers 2005-W24, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  18. Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  19. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund. [Downloadable!]
  20. Jian Hu, 2008. "Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach," Departmental Working Papers 0808, Southern Methodist University, Department of Economics, revised Nov 2008. [Downloadable!]
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  21. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  23. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
  24. 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., vol. 17(5), pages 535-548. [Downloadable!]
  25. M. Marzo & P. Zagaglia, 2007. "Volatility Forecasting for Crude Oil Futures," Working Papers 599, Dipartimento Scienze Economiche, Università di Bologna. [Downloadable!]
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  26. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," NBER Working Papers 7488, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  27. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 255-271, June. [Downloadable!] (restricted)
  28. Colavecchio , Roberta & Funke, Michael, 2006. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," BOFIT Discussion Papers 16/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  29. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  30. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
  31. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
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  32. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
  33. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  34. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  35. Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, School of Economics and Management, University of Aarhus. [Downloadable!]
  36. Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008. [Downloadable!]
  37. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
  38. Chongcheul Cheong & Tesfa Mehari & Leighton Williams, 2006. "Dynamic Links Between Unexpected Exchange Rate Variation, Prices, and International Trade," Open Economies Review, Springer, vol. 17(2), pages 221-233, April. [Downloadable!] (restricted)
  39. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
  40. Sumon Bhaumik & Suchismita Bose, 2007. "Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India," William Davidson Institute Working Papers Series wp863, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  41. Thomas Kaiser, 1996. "One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -," Econometrics 9612007, EconWPA. [Downloadable!]
  42. Hansen, Christian B. & McDonald, James B. & Theodossiou, Panayiotis, 2007. "Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(7). [Downloadable!]
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  43. David Daewhan Cho, 2004. "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings 431, Econometric Society. [Downloadable!]
  44. Peter Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  45. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  46. Francis X. Diebold & Til Schuermann, 1996. "Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models," NBER Technical Working Papers 0194, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  47. Satoru Kanoh & Asuka Takeuchi, 2006. "An Analysis of Option Pricing in the Japanese Market," Hi-Stat Discussion Paper Series d05-145, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  48. 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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  49. Michael D. McKenzie, Heather Mitchell, Robert D. Brooks, Robert W. Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 22-38, March. [Downloadable!] (restricted)
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  50. William O. Brown & Richard C. K. Burdekin & Marc D. Weidenmier, 2005. "Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica," NBER Working Papers 11319, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  51. Murray, J. & Van Norden, S. & Vigfusson, R., 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada. [Downloadable!]
  52. Pitt, M.K. & Walker, S.G., 2001. "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS) 595, University of Warwick, Department of Economics. [Downloadable!]
  53. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  54. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
  55. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  56. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
  57. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  58. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
  59. Watt, D.G.M., 1997. "Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets," Working Papers 97-18, Bank of Canada. [Downloadable!]
  60. 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. [Downloadable!]
  61. 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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  62. Charles Engel & Jeffrey A. Frankel & Kenneth A. Froot & Anthony P. Rodrigues, 1989. "Conditional Mean-Variance Efficiency of the U.S. Stock Market," NBER Working Papers 2890, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  63. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  64. David Daewhan Cho, 2004. "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings 433, Econometric Society. [Downloadable!]
  65. Pandey Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers 2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  66. H. Herwartz & H. Reimers, . "Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt," Sonderforschungsbereich 373 1999-48, Humboldt Universitaet Berlin.
  67. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
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  68. G. Lypny, M. Powalla, 1998. "The hedging effectiveness of DAX futures," European Journal of Finance, Taylor and Francis Journals, vol. 4(4), pages 345-355, December. [Downloadable!] (restricted)
  69. Andrew J. Patton, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series 2001-09, Department of Economics, UC San Diego. [Downloadable!]
  70. Peter Christoffersen & Sílvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO. [Downloadable!]
  71. Issler, João Victor, 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!]
  72. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  73. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536. [Downloadable!]
  74. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  75. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
  76. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002. [Downloadable!]
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  77. 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!]
  78. Ramsés Mena & Stephen Walker, 2007. "On the Stationary Version of the Generalized Hyperbolic ARCH Model," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(2), pages 325-348, June. [Downloadable!] (restricted)
  79. Liudas Giraitis & Peter M Robinson & Donatas Surgailis, 2000. "A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)," STICERD - Econometrics Paper Series /2000/382, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  80. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
  81. Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  82. Beum-Jo Park, 2002. "Asymmetric Volatility Of Exchange Rate Returns Under The Ems: Some Evidence From Quantile Regression Appoach For Tgarch Models," International Economic Journal, Korean International Economic Association, vol. 16(1), pages 105-125, April. [Downloadable!] (restricted)
  83. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160. [Downloadable!]
  84. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA. [Downloadable!]
  85. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies. [Downloadable!]
  86. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research. [Downloadable!]
  87. 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!]
  88. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, vol. 4(4), pages 351-379, December. [Downloadable!] (restricted)
  89. David Chappell, Robert M. Eldridge, 1997. "Non-linear characteristics of the sterling/European Currency Unit exchange rate: 1984–1992," European Journal of Finance, Taylor and Francis Journals, vol. 3(2), pages 159-182, June. [Downloadable!] (restricted)
  90. Gamini Premaratne & Prabhath Jayasinghe, 2005. "Exchange rate exposure of stock returns at firm level," International Finance 0503004, EconWPA. [Downloadable!]
  91. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
  92. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  93. Norberto Rodríguez, . "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," Borradores de Economia 161, Banco de la Republica de Colombia. [Downloadable!]
  94. Belton Fleisher & Dongwei Su, 1996. "Risk, Return and Regulation in Chinese Stock Markets," Working Papers 005, Ohio State University, Department of Economics. [Downloadable!]
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  95. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
  96. Raffaella Giacomini & Christian Haefke & Halbert White & Andreas Gottschling, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series 2002-14, Department of Economics, UC San Diego. [Downloadable!]
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  97. Atreya Chakraborty, John T. Barkoulas, 1999. "Dynamic futures hedging in currency markets," European Journal of Finance, Taylor and Francis Journals, vol. 5(4), pages 299-314, December. [Downloadable!] (restricted)
  98. ROUSAN, Raya & AL-KHOURI, Ritab, 2005. "Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 99-118. [Downloadable!]
  99. ASGHAR, Zahid, 2008. "Energy–Gdp Relationship: A Causal Analysis For The Five Countries Of South Asia," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 167-180. [Downloadable!] (restricted)
  100. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, School of Economics and Management, University of Aarhus. [Downloadable!]
  101. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-061, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  102. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group. [Downloadable!]
  103. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  104. Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163. [Downloadable!]
  105. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-10. [Downloadable!]
  106. Maria S. Heracleous, 2007. "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers ECO2007/60, European University Institute. [Downloadable!]
  107. 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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  108. Stacie Beck, 2001. "Autoregressive conditional heteroscedasticity in commodity spot prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 115-132. [Downloadable!]
  109. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]
  110. Ronald K. Chung & Hung-Gay Fung & Gene C. Lai & Robert C. Witt, 1994. "Causal Relationships Between Premiums and Losses, and Causes of the Underwriting Cycles," Risk and Insurance 9407008, EconWPA. [Downloadable!]
  111. repec:att:wimass:1920120 is not listed on IDEAS
  112. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, EconWPA. [Downloadable!]
  113. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
  114. Chien-Liang Chiu & Ming-Chih Lee & Jui-Cheng Hung, 2005. "Estimation of Value-at-Risk under jump dynamics and asymmetric information," Applied Financial Economics, Taylor and Francis Journals, vol. 15(15), pages 1095-1106, October. [Downloadable!] (restricted)
  115. 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!]
  116. Nicole Davis & Ali M. Kutan, 2003. "Inflation and output as predictors of stock returns and volatility: international evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 693-700, September. [Downloadable!] (restricted)
  117. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal. [Downloadable!]
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  118. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]
  119. Jun Ma & Charles Nelson & Richard Startz, 2007. "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1), pages 1434-1434. [Downloadable!] (restricted)
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  120. S. Kim & J. Sheen, . "International; Linkages & Macroeconomic News Effects on Interest Rate Volatility - Australia and the US," Working Papers 9811, University of Sydney, Department of Economics. [Downloadable!]
  121. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  122. Quan-Hoang Vuong, 2002. "Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series," Working Papers CEB 02-001.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
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