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Citations for "The Extreme Value Method for Estimating the Variance of the Rate of Return"

by Parkinson, Michael

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  1. Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
  2. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
  3. Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2010. "The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 871-881, April.
  4. Nikkin L. Beronilla & Dennis S. Mapa, 2008. "Range-based models in estimating value-at-risk (VaR)," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 45(2), pages 87-99, December.
  5. Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012. "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 115-129.
  6. Herbert, John H, 1995. "Trading volume, maturity and natural gas futures price volatility," Energy Economics, Elsevier, vol. 17(4), pages 293-299, October.
  7. repec:wyi:journl:002202 is not listed on IDEAS
  8. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  9. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
  10. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  11. Martens, M.P.E. & van Dijk, D.J.C., 2006. "Measuring volatility with the realized range," Econometric Institute Research Papers EI 2006-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  12. Gray, Stephen F. & Smith, Tom & Whaley, Robert E., 2003. "Stock splits: implications for investor trading costs," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 271-303, May.
  13. Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina, 2012. "Stochastic volatility models including open, close, high and low prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 199-212, May.
  14. An-Sing Chen, 1997. "Volatility of exchange rate futures and high-low price spreads," Journal of Economics and Finance, Springer, vol. 21(1), pages 33-42, March.
  15. repec:idb:brikps:7775 is not listed on IDEAS
  16. repec:hal:journl:halshs-00425585 is not listed on IDEAS
  17. Hansson, Fredrik & Rüdow Fors, Erik, 2009. "Get Shorty? - Market Impact of the 2008-09 U.K. Short Selling Ban," Working Papers in Economics 365, University of Gothenburg, Department of Economics.
  18. James Foreman-Peck & Leslie Hannah, 2012. "Some Consequences of the Early Twentieth Century Divorce of Ownership from Control," CIRJE F-Series CIRJE-F-864, CIRJE, Faculty of Economics, University of Tokyo.
  19. Kalimipalli, Madhu & Ramchand, Latha, 2006. "Does the method of entry matter? Evidence from Indian ADRs and GDRs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 349-366, September.
  20. Bannouh, K. & van Dijk, D.J.C. & Martens, M.P.E., 2008. "Range-based covariance estimation using high-frequency data: The realized co-range," Econometric Institute Research Papers EI 2007-53, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  21. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H.H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.).
  22. Riva, Fabrice & Deville, Laurent, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Economics Papers from University Paris Dauphine 123456789/1381, Paris Dauphine University.
  23. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A high-low model of daily stock price ranges," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 103-119.
  24. Riva, Fabrice & Deville, Laurent, 2006. "The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach," Economics Papers from University Paris Dauphine 123456789/2397, Paris Dauphine University.
  25. Alexander Saichev & Svetlana Lapinova, 2012. "Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators," Papers 1202.4311, arXiv.org.
  26. Adam Clements & Neda Todorova, 2014. "The impact of information flow and trading activity on gold and oil futures volatility," NCER Working Paper Series 102, National Centre for Econometric Research.
  27. repec:lan:wpaper:3324 is not listed on IDEAS
  28. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
  29. repec:wyi:journl:002128 is not listed on IDEAS
  30. Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
  31. Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li, 2013. "The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe," Working Paper Series 62_13, The Rimini Centre for Economic Analysis.
  32. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
  33. Brandt, Michael W. & Diebold, Francis X., 2004. "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series 2004/07, Center for Financial Studies (CFS).
  34. Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series qt982208kx, Department of Economics, UC San Diego.
  35. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  36. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
  37. Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
  38. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  39. Wolfgang Karl Härdle & Rainer Schulz & Weining Wang, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers SFB649DP2010-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  40. Chang, Chuang-Chang & Hsieh, Pei-Fang & Wang, Yaw-Huei, 2010. "Information content of options trading volume for future volatility: Evidence from the Taiwan options market," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 174-183, January.
  41. repec:ebl:ecbull:v:7:y:2007:i:10:p:1-14 is not listed on IDEAS
  42. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
  43. Kumar, Dilip & Maheswaran, S., 2013. "Detecting sudden changes in volatility estimated from high, low and closing prices," Economic Modelling, Elsevier, vol. 31(C), pages 484-491.
  44. Lam, K.P. & Ng, H.S., 2009. "Intra-daily information of range-based volatility for MEM-GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2625-2632.
  45. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  46. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  47. Jaeck, Edouard & Lautier, Delphine, 2014. "Samuelson hypothesis and electricity derivative markets," Economics Papers from University Paris Dauphine 123456789/13630, Paris Dauphine University.
  48. Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
  49. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  50. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
  51. Shao, Xi-Dong & Lian, Yu-Jun & Yin, Lian-Qian, 2009. "Forecasting Value-at-Risk using high frequency data: The realized range model," Global Finance Journal, Elsevier, vol. 20(2), pages 128-136.
  52. Harris, Richard D.F. & Stoja, Evarist & Yilmaz, Fatih, 2011. "A cyclical model of exchange rate volatility," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3055-3064, November.
  53. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  54. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc.
  55. Imad Zeyad Ramadan, 2013. "Dividend Policy and Price Volatility. Empirical Evidence from Jordan," 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. 3(2), pages 15-22, April.
  56. repec:lan:wpaper:3046 is not listed on IDEAS
  57. Chan, Leo & Lien, Donald, 2003. "Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 35-47.
  58. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.
  59. Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
  60. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  61. Venetis, Ioannis A. & Peel, David, 2005. "Non-linearity in stock index returns: the volatility and serial correlation relationship," Economic Modelling, Elsevier, vol. 22(1), pages 1-19, January.
  62. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
  63. Benjamin Golez & Jens Carsten Jackwerth, 2010. "Pinning in the S&P 500 Futures," Working Paper Series of the Department of Economics, University of Konstanz 2010-12, Department of Economics, University of Konstanz.
  64. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  65. Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
  66. Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
  67. Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics.
  68. Chen, Chun-nan & Wu, Chunchi, 2009. "Small trades and volatility increases after stock splits," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 592-610, October.
  69. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
  70. Galli, Fausto, 2014. "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper 54841, University Library of Munich, Germany.
  71. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  72. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00940251, HAL.
  73. repec:hal:wpaper:halshs-00588307 is not listed on IDEAS
  74. José Gonzalo Rangel, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
  75. Harris, Richard D.F. & Yilmaz, Fatih, 2010. "Estimation of the conditional variance-covariance matrix of returns using the intraday range," International Journal of Forecasting, Elsevier, vol. 26(1), pages 180-194, January.
  76. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  77. 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.
  78. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, 05.
  79. Bayraci, Selcuk & Demiralay, Sercan, 2013. "Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets," MPRA Paper 51909, University Library of Munich, Germany.
  80. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
  81. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003. "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper Archive 03-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  82. Bernard Bollen & Brett Inder, 1999. "Estimating Daily Volatility in Financial Markets Utilizing Intraday Data," Working Papers 1999.01, School of Economics, La Trobe University.
  83. Javier Arroyo & Rosa Espínola & Carlos Maté, 2011. "Different Approaches to Forecast Interval Time Series: A Comparison in Finance," Computational Economics, Society for Computational Economics, vol. 37(2), pages 169-191, February.
  84. Mapa, Dennis S., 2003. "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper 21323, University Library of Munich, Germany.
  85. Lena Korber & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers CWP42/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  86. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  87. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
  88. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  89. Mapa, Dennis S., 2004. "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper 21028, University Library of Munich, Germany.
  90. David Bates & Roger Craine, 1998. "Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash," NBER Working Papers 6505, National Bureau of Economic Research, Inc.
  91. R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  92. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
  93. repec:wyi:wpaper:002040 is not listed on IDEAS
  94. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.
  95. Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
  96. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  97. Chan, Yue-cheong, 2005. "Who trades in the stock index futures market when the underlying cash market is not trading?," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 547-561, November.
  98. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
  99. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
  100. Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013. "The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, 09.
  101. Chan, J.S.K. & Lam, C.P.Y. & Yu, P.L.H. & Choy, S.T.B. & Chen, C.W.S., 2012. "A Bayesian conditional autoregressive geometric process model for range data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3006-3019.
  102. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
  103. Irwin, Scott H. & Sanders, Dwight R., 2012. "Testing the Masters Hypothesis in commodity futures markets," Energy Economics, Elsevier, vol. 34(1), pages 256-269.
  104. Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
  105. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
  106. Berkman, Henk & Lee, John Byong Tek, 2002. "The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 517-530, November.
  107. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.
  108. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
  109. Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," EconomiX Working Papers 2014-27, University of Paris West - Nanterre la Défense, EconomiX.
  110. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  111. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2006. "An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 97-113.
  112. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw.
  113. Yin-Wong Cheung, 2007. "An empirical model of daily highs and lows," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 1-20.
  114. Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
  115. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  116. Nicos Scordis, 2011. "The Morality of Risk Modeling," Journal of Business Ethics, Springer, vol. 103(1), pages 7-16, April.
  117. Hélène Raymond-Feingold & Bogdan Négréa & Christophe Moussu & Bertrand Maillet & Catherine Lubochinsky & Emmanuel Jurczenko & Jérôme Héricourt & Sylvain Friederich & Thierry Chauveau, 2004. "La volatilité des marchés augmente-t-elle ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 17-44.
  118. He, Angela W.W. & Kwok, Jerry T.K. & Wan, Alan T.K., 2010. "An empirical model of daily highs and lows of West Texas Intermediate crude oil prices," Energy Economics, Elsevier, vol. 32(6), pages 1499-1506, November.
  119. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
  120. Chris Downing & Frank Zhang, 2002. "Trading activity and price volatility in the municipal bond market," Finance and Economics Discussion Series 2002-39, Board of Governors of the Federal Reserve System (U.S.).
  121. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  122. Taoufik Bouraoui, 2009. "The impact of stock spams on volatility," EconomiX Working Papers 2009-30, University of Paris West - Nanterre la Défense, EconomiX.
  123. Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
  124. Yawen Hudson & Christopher J. Green, 2013. "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series 2013_13, Department of Economics, Loughborough University, revised Nov 2013.
  125. Chan, Yue-Cheong, 2014. "How does retail sentiment affect IPO returns? Evidence from the internet bubble period," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 235-248.
  126. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers w201128, Banco de Portugal, Economics and Research Department.
  127. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
  128. Li, Wei & Wang, Steven Shuye, 2010. "Daily institutional trades and stock price volatility in a retail investor dominated emerging market," Journal of Financial Markets, Elsevier, vol. 13(4), pages 448-474, November.
  129. Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E., 2013. "Is warrant really a derivative? Evidence from the Chinese warrant market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 165-193.
  130. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Papers 0804.0162, arXiv.org.
  131. Mendiola, Alfredo, 2010. "Adr Effects On Domestic Latin Maerica Financial Market," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 15(28), pages 45-64.
  132. Yu Chuan Huang & Shu Hui Chan, 2010. "Trading Behavior on Expiration Days and Quarter-End Days: The Effect of a New Closing Method," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(4), pages 105-125, January.
  133. Chou, Ray Yeutien & Liu, Nathan, 2010. "The economic value of volatility timing using a range-based volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2288-2301, November.
  134. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
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