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Citations for "On the Estimation of Security Price Volatilities from Historical Data"

by Garman, Mark B & Klass, Michael J

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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. Alfonso Novales & J.A. Lafuente, 2002. "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos del Instituto Complutense de Análisis Económico 0223, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
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  2. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Quantitative Finance Papers 0901.1315, arXiv.org. [Downloadable!]
  3. 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)
  4. Suk-Joong Kim & Jeffrey Sheen, . "Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information," Working Papers 9918, University of Sydney, Department of Economics. [Downloadable!]
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  5. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Quantitative Finance Papers 0804.0162, arXiv.org. [Downloadable!]
  6. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April. [Downloadable!] (restricted)
  7. Owain Ap Gwilym, Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," European Journal of Finance, Taylor and Francis Journals, vol. 5(1), pages 73-94, March. [Downloadable!] (restricted)
  8. 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. [Downloadable!] (restricted)
  9. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. 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 "G. Parenti". [Downloadable!]
  11. Brian M Lucey and Alexander Eastman, 2008. "Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp260, IIIS. [Downloadable!]
  12. Li L. Ong & Jason D. Mitchell, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund. [Downloadable!]
  13. L. Gangadharan & P. Maitra, . "Testing for Son Preference in South Africa," Working Papers 9917, University of Sydney, Department of Economics. [Downloadable!]
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  14. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Anthony Herbst, 2007. "Lunacy in the Stock Market—What is the Evidence?," Journal of Bioeconomics, Springer, vol. 9(1), pages 1-18, April. [Downloadable!] (restricted)
  16. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  17. Juan Ángel Lafuente & Jesús Ruiz, 2002. "The New Market Effect on Return and Volatility of Spanish Sector Indexes," Documentos del Instituto Complutense de Análisis Económico 0213, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
  18. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, School of Economics and Management, University of Aarhus. [Downloadable!]
  19. Kamil Yilmaz, 2009. "Return and Volatility Spillovers among the East Asian Equity Markets," TÜSİAD-Koç University Economic Research Forum Working Papers 0907, TUSIAD-Koc University Economic Research Forum. [Downloadable!]
  20. M. Illueca & J. Lafuente, 2008. "Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission," Spanish Economic Review, Springer, vol. 10(3), pages 197-219, September. [Downloadable!] (restricted)
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  21. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233. [Downloadable!]
  22. 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 "G. Parenti". [Downloadable!]
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  23. 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.). [Downloadable!]
  24. 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. [Downloadable!] (restricted)
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  25. 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. [Downloadable!] (restricted)
  26. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  27. C. Lucarelli & M. E. Bontempi & C. Mazzoli & A. G. Quaranta, 2009. "Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data," Working Papers 678, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  28. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December. [Downloadable!] (restricted)
  29. Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  30. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
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  31. 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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  32. Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November. [Downloadable!] (restricted)
  33. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA. [Downloadable!]
  34. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  35. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  36. Rita Madarassy Akin, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series 1006, Center for International Economics, UC Santa Cruz. [Downloadable!]
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This page was last updated on 2009-12-2.

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