IDEAS home Printed from https://ideas.repec.org/e/c/pdr46.html
   My authors  Follow this author

Feike C. Drost

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.

    Cited by:

    1. Becheri, I.G. & Drost, Feike C. & van den Akker, R., 2013. "Asymptotically UMP Panel Unit Root Tests," Discussion Paper 2013-017, Tilburg University, Center for Economic Research.
    2. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
    3. Barczy, M. & Ispány, M. & Pap, G., 2011. "Asymptotic behavior of unstable INAR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 583-608, March.
    4. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    5. Becheri, I.G. & Drost, Feike C. & van den Akker, R., 2013. "Asymptotically UMP Panel Unit Root Tests," Other publications TiSEM e34b7d23-8e53-4cea-ba69-5, Tilburg University, School of Economics and Management.
    6. Mátyás Barczy & Márton Ispány & Gyula Pap, 2014. "Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 866-892, December.

  2. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008. "Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)," Discussion Paper 2008-53, Tilburg University, Center for Economic Research.

    Cited by:

    1. Jentsch, Carsten & Leucht, Anne, 2014. "Bootstrapping Sample Quantiles of Discrete Data," Working Papers 14-15, University of Mannheim, Department of Economics.
    2. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
    3. Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
    4. Germán Aneiros, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 439-441, September.

  3. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007. "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper 2007-47, Tilburg University, Center for Economic Research.

    Cited by:

    1. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper 2008-40, Tilburg University, Center for Economic Research.
    2. Predrag M. Popović & Hassan S. Bakouch, 2020. "A bivariate integer-valued bilinear autoregressive model with random coefficients," Statistical Papers, Springer, vol. 61(5), pages 1819-1840, October.
    3. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Other publications TiSEM 950a8cda-8f8c-43a9-a5c2-8, Tilburg University, School of Economics and Management.
    4. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
    5. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
    6. E. Gonçalves & N. Mendes-Lopes & F. Silva, 2015. "Infinitely Divisible Distributions in Integer-Valued Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 503-527, July.
    7. Sakineh Ramezani & Mehrnaz Mohammadpour, 2022. "Integer-valued Bilinear Model with Dependent Counting Series," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 321-343, March.
    8. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    9. Doukhan, Paul & Fokianos, Konstantinos & Li, Xiaoyin, 2012. "On weak dependence conditions: The case of discrete valued processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1941-1948.

  4. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.

    Cited by:

    1. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.

  5. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "Local Asymptotic Normality and Efficient Estimation for inar (P) Models," Discussion Paper 2006-45, Tilburg University, Center for Economic Research.

    Cited by:

    1. Mohamed Sadoun & Mohamed Bentarzi, 2021. "Locally asymptotically efficient estimation for parametric PINAR(p) models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 75(3), pages 257-289, August.
    2. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485, April.
    3. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
    4. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008. "Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 973-994, November.
    5. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Other publications TiSEM 6e89d2b0-1d07-4f01-9b2f-5, Tilburg University, School of Economics and Management.
    6. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    7. Mátyás Barczy & Márton Ispány & Gyula Pap, 2014. "Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 866-892, December.

  6. Boes, M.J. & Drost, F.C. & Werker, B.J.M., 2005. "The Impact of Overnight Periods on Option Pricing," Discussion Paper 2005-1, Tilburg University, Center for Economic Research.

    Cited by:

    1. Kuttu, Saint & Aboagye, Anthony Q.Q. & Bokpin, Godfred A., 2018. "Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 211-226.
    2. Ito, Ryoko, 2013. "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.
    3. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
    4. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
    5. Shou-Lei Wang & Yu-Fei Yang & Yu-Hua Zeng, 2014. "The Adjoint Method for the Inverse Problem of Option Pricing," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
    6. Entrop, Oliver & Scholz, Hendrik & Wilkens, Marco, 2009. "The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 874-882, May.
    7. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    8. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
    9. Kaplanski, Guy & Levy, Haim, 2015. "Trading breaks and asymmetric information: The option markets," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 390-404.
    10. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
    11. Patrizia Perras & Niklas Wagner, 2020. "On the pricing of overnight market risk," Empirical Economics, Springer, vol. 59(3), pages 1307-1327, September.
    12. Ally Quan Zhang & Matthias Thul, 2017. "How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1387-1401, September.
    13. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.

  7. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.

    Cited by:

    1. Hallin, Marc & La Vecchia, Davide, 2020. "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
    2. Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée.
    4. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    5. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
    6. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 1/08, Monash University, Department of Econometrics and Business Statistics.
    7. De Luca, Giovanni & Zuccolotto, Paola, 2006. "Regime-switching Pareto distributions for ACD models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2179-2191, December.
    8. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    9. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    10. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    11. Simos G. Meintanis & Bojana Milošević & Marko Obradović, 2020. "Goodness-of-fit tests in conditional duration models," Statistical Papers, Springer, vol. 61(1), pages 123-140, February.
    12. Peter Hall, 2007. "Comments on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(3), pages 448-449, December.
    13. Spierdijk, L. & Nijman, T.E. & van Soest, A.H.O., 2002. "The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity," Other publications TiSEM d8b70967-e398-4f5d-825b-1, Tilburg University, School of Economics and Management.
    14. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
    15. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    16. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Discussion Paper 2002-30, Tilburg University, Center for Economic Research.
    17. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    18. Kulan Ranasinghe & Mervyn J. Silvapulle, 2008. "Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown," Monash Econometrics and Business Statistics Working Papers 5/08, Monash University, Department of Econometrics and Business Statistics.
    19. Peter Malec & Melanie Schienle, 2012. "Nonparametric Kernel Density Estimation Near the Boundary," SFB 649 Discussion Papers SFB649DP2012-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Other publications TiSEM d495caf0-2f2a-425f-8e50-e, Tilburg University, School of Economics and Management.
    21. Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 488, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    22. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    23. Marcelo Fernandes & Marcelo C. Medeiros & Alvaro Veiga, 2016. "A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1221-1250, August.
    24. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    25. Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016. "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 79-92.
    26. Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro, 2013. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 343, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    27. Hira L. Koul & Indeewara Perera & Narayana Balakrishna, 2023. "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 87-115, May.
    28. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    29. Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
    30. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
    31. Fernandes, Marcelo & Barros, Carlos Felipe, 2014. "Market Depth at the BM&FBovespa," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(1), March.
    32. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
    33. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    34. Patrick W. Saart & Jiti Gao & David E. Allen, 2015. "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 849-881, December.
    35. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," CAEPR Working Papers 2007-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    36. Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
    37. Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J., 2012. "An analysis of intraday market behaviour before takeover announcements," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 23-32.
    38. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.

  8. Feike C. Drost & Bas J. M. Werker, 2000. "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society.

    Cited by:

    1. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    2. Veredas, David & Rodríguez Poo, Juan M. & Espasa, Antoni, 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.

  9. Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
    3. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    4. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
    6. Carlo Grillenzoni, 2009. "Kernel Likelihood Inference for Time Series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 127-140, March.
    7. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    8. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    9. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
    10. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    11. Klar, B. & Lindner, F. & Meintanis, S.G., 2012. "Specification tests for the error distribution in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3587-3598.
    12. Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
    13. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
    14. Verhoeven, Peter & McAleer, Michael, 2004. "Fat tails and asymmetry in financial volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 351-361.
    15. Abdelouahab Bibi, 2021. "Asymptotic properties of QMLE for seasonal threshold GARCH model with periodic coefficients," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 477-514, June.
    16. Bibi, Abdelouahab & Ghezal, Ahmed, 2017. "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper 81126, University Library of Munich, Germany.

  10. de Jong, F.C.J.M. & Drost, F.C. & Werker, B.J.M., 1997. "Exchange rate target zones : A new approach," Discussion Paper 97.04, Tilburg University, Center for Economic Research.

    Cited by:

    1. MEDDAHI, Nour & RENAULT, Éric, 1998. "Quadratic M-Estimators for ARCH-Type Processes," Cahiers de recherche 9814, Universite de Montreal, Departement de sciences economiques.
    2. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.

  11. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.

    Cited by:

    1. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    2. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    3. Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
    4. Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group.
    5. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
    6. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    7. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.
    8. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
    9. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    11. Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
    12. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    13. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
    14. Jiangyu Ji & Andre Lucas, 2012. "A New Semiparametric Volatility Model," Tinbergen Institute Discussion Papers 12-055/2/DSF35, Tinbergen Institute.
    15. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
    16. Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
    17. HAFNER, Christian & PREMINGER, Arie, 2016. "On Asymptotic Theory for ARCH(infinite) Models," LIDAM Discussion Papers CORE 2016030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
    19. Xibin Zhang & Maxwell L. King, 2011. "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers 24/11, Monash University, Department of Econometrics and Business Statistics.
    20. Francq, Christian & Zakoian, Jean-Michel, 2021. "Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models," MPRA Paper 106542, University Library of Munich, Germany.
    21. Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
    22. Berkes, Istvan & Horváth, Lajos & Kokoszka, Piotr, 2004. "Testing for parameter constancy in GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 263-273, December.
    23. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
    24. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
    25. MEDDAHI, Nour & RENAULT, Éric, 1998. "Quadratic M-Estimators for ARCH-Type Processes," Cahiers de recherche 9814, Universite de Montreal, Departement de sciences economiques.
    26. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
    27. Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
    28. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    29. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
    30. Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 915-923, May.
    31. Wang, Qin & Yao, Weixin, 2012. "An adaptive estimation of MAVE," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 88-100, February.
    32. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
    33. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
    34. Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers LFIN 2022002, Université catholique de Louvain, Louvain Finance (LFIN).
    35. Dong Jin Lee, 2016. "Parametric and Semi-Parametric Efficient Tests for Parameter Instability," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 451-475, July.
    36. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
    37. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    38. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    39. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    40. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    41. Francesco Audrino, 2005. "Local Likelihood for non‐parametric ARCH(1) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 251-278, March.
    42. Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
    43. Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
    44. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    45. Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
    46. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
    47. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
    48. Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
    49. Chen, Yixin & Wang, Qin & Yao, Weixin, 2015. "Adaptive estimation for varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 17-31.
    50. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    51. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    52. Peter A. Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series 1505, CESifo.
    53. Ciccarelli Nicola, 2018. "Semiparametric efficient adaptive estimation of the GJR-GARCH model," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 141-160, July.
    54. Christian M. Hafner & Arie Preminger, 2017. "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 865-879, November.
    55. Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
    56. Xuejie Feng & Chiping Zhang, 2020. "A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 1021-1044, March.
    57. Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011. "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, vol. 165(2), pages 246-257.
    58. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
    59. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    60. Ciccarelli, Nicola, 2016. "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper 72021, University Library of Munich, Germany.
    61. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
    62. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.

  12. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. 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.
    3. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers 06-14, Bank of Canada.
    4. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
    5. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
    6. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
    7. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
    8. Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
    9. Chen, Yi-Hsuan & Tu, Anthony H. & Wang, Kehluh, 2008. "Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 259-271, July.
    10. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
    11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    12. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
    13. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    14. 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.
    15. Kim, Jae Ho & Powell, Warren B., 2011. "An hour-ahead prediction model for heavy-tailed spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1252-1266.
    16. Xieer Dai & Michael Beenstock & Daniel Felsenstein & David Genesove & Nikita Kotsenko, 2023. "'Traffic light' theory for Covid-19 spatial mitigation policy design," Journal of Spatial Econometrics, Springer, vol. 4(1), pages 1-35, December.
    17. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
    18. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2008. "Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility," Journal of Econometrics, Elsevier, vol. 143(2), pages 227-262, April.
    19. Chan Wing Hong, 2008. "Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-25, May.
    20. Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
    21. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    22. Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    23. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
    24. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
    25. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
    26. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    27. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.

  13. Drost, F.C. & Werker, B.J.M., 1994. "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.

    Cited by:

    1. Dankenbring, Henning, 1998. "Volatility estimates of the short term interest rate with an application to German data," SFB 373 Discussion Papers 1998,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
    3. Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
    4. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
    5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    6. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    8. Zhang, Hanyu & Assereto, Martina & Byrne, Julie, 2023. "Deferring real options with solar renewable energy certificates," Global Finance Journal, Elsevier, vol. 55(C).
    9. Christian M. Hafner & Sébastien Laurent & Francesco Violante, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," Post-Print hal-01590010, HAL.
    10. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    11. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    12. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    13. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper 80489, University Library of Munich, Germany.
    14. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
    15. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    16. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
    17. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    18. Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
    19. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
    20. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
    21. 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.
    22. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
    23. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
    24. Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
    25. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    26. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    27. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    28. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
    29. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    30. Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised May 2019.
    31. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    32. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
    33. Bin Mo & Juan Meng & Guannan Wang, 2023. "Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management," Energies, MDPI, vol. 16(5), pages 1-17, February.
    34. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
    35. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
    36. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.
    37. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2011. "Structural changes and volatility transmission in crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4317-4324.
    38. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research and International Relations Area.
    39. Fernandes, Marcelo & Preumont, Pierre-Yves, 2014. "The finite-sample size of the BDS test for GARCH standardized residuals," Textos para discussão 361, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    40. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.
    41. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
    42. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    43. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
    44. Loukianova, A. & Smirnova, E., 2015. "Strategic risk-management with the use of market risk indicator: A comparative longitudinal study in the emerging markets," Working Papers 6430, Graduate School of Management, St. Petersburg State University.
    45. Lars Forsberg & Anders Eriksson, 2004. "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings 323, Econometric Society.
    46. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
    47. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
    48. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    49. Dias, Alexandra & Embrechts, Paul, 2010. "Modeling exchange rate dependence dynamics at different time horizons," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1687-1705, December.
    50. John W. Galbraith & Victoria Zinde-Walsh, 2001. "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers 2001s-15, CIRANO.
    51. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
    52. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    53. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    54. Enrique Villamor & Pablo Olivares, 2020. "Pricing Exchange Options under Stochastic Correlation," Papers 2001.03967, arXiv.org.
    55. Luke De Clerk & Sergey Savel'ev, 2021. "Non-stationary GARCH modelling for fitting higher order moments of financial series within moving time windows," Papers 2102.11627, arXiv.org, revised Mar 2021.
    56. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    57. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    58. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
    59. Martens, Martin, 2001. "Forecasting daily exchange rate volatility using intraday returns," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 1-23, February.
    60. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
    61. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.
    62. Trifi Amine, 2006. "Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-26, December.
    63. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
    64. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
    65. Reno, Roberto, 2006. "Nonparametric estimation of stochastic volatility models," Economics Letters, Elsevier, vol. 90(3), pages 390-395, March.
    66. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    67. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February.
    68. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
    69. Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    70. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
    71. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
    72. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    73. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    74. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
    75. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    76. Corradi, Valentina, 2000. "Reconsidering the continuous time limit of the GARCH(1, 1) process," Journal of Econometrics, Elsevier, vol. 96(1), pages 145-153, May.
    77. Monica Gentile & Roberto Renò, 2005. "Specification Analysis of Diffusion Models for the Italian Short Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 51-83, February.
    78. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    79. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    80. Robin de Vilder & Marcel P. Visser, 2007. "Proxies for daily volatility," PSE Working Papers halshs-00588307, HAL.
    81. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank.
    82. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.
    83. Chen Xilong & Ghysels Eric & Wang Fangfang, 2011. "HYBRID GARCH Models and Intra-Daily Return Periodicity," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
    84. Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
    85. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
    86. Richard Hawkes & Paresh Date, 2007. "Medium‐term horizon volatility forecasting: A comparative study," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(6), pages 465-481, November.
    87. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    88. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    89. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society.
    90. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    91. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    92. Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    93. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    94. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June.
    95. Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    96. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    97. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    98. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    99. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    100. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

  14. Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.

    Cited by:

    1. Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
    2. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
    3. Hallin, Marc & La Vecchia, Davide, 2020. "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
    4. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
    5. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    6. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    7. Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Center for Research in Economics and Statistics.
    8. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
    9. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485, April.
    10. Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008. "Semiparametrically efficient inference based on signs and ranks for median‐restricted models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 389-412, April.
    11. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    12. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
    13. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
    14. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
    16. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    17. Hallin, M. & Werker, B.J.M., 2003. "Semiparametric efficiency, distribution-freeness and invariance," Other publications TiSEM fe20db00-786a-4261-9999-6, Tilburg University, School of Economics and Management.
    18. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    19. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    20. Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
    21. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
    22. Francq, Christian & Zakoian, Jean-Michel, 2021. "Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models," MPRA Paper 106542, University Library of Munich, Germany.
    23. I. Gaia Becheri & Feike C. Drost & Bas J.M. Werker, 2016. "Asymptotic Inference for Jump Diffusions with State-Dependent Intensity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 520-542, June.
    24. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
    25. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
    26. André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.
    27. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    28. HAFNER, Christian & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    29. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    30. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
    31. La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015. "Robust heart rate variability analysis by generalized entropy minimization," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
    32. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
    33. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
    34. Marc Hallin & Abdeslam Serroukh, 1999. "Adaptive estimation of the lag of a long-memory process," ULB Institutional Repository 2013/2085, ULB -- Universite Libre de Bruxelles.
    35. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
    36. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.
    37. Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
    38. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
    39. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
    40. André Klein & Guy Melard, 2004. "An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models," ULB Institutional Repository 2013/13746, ULB -- Universite Libre de Bruxelles.
    41. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    42. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    43. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    44. Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    45. Anton Schick & Wolfgang Wefelmeyer, 2002. "Estimating the Innovation Distribution in Nonlinear Autoregressive Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 245-260, June.
    46. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
    47. Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
    48. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    49. Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
    50. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    51. Robinson, Peter & Taylor, Luke, 2017. "Adaptive estimation in multiple time series with independent component errors," LSE Research Online Documents on Economics 68345, London School of Economics and Political Science, LSE Library.
    52. Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
    53. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    54. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    55. Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
    56. Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
    57. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
    58. Ciccarelli Nicola, 2018. "Semiparametric efficient adaptive estimation of the GJR-GARCH model," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 141-160, July.
    59. Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
    60. Hwang, S. Y. & Kim, Tae Yoon, 2004. "Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 295-314, April.
    61. Ciccarelli, Nicola, 2016. "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper 72021, University Library of Munich, Germany.
    62. Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
    63. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.

  15. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.

    Cited by:

    1. Fernandes, Marcelo, 2001. "Nonparametric entropy-based tests of independence between stochastic processes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 413, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.

  16. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.

    Cited by:

    1. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    2. Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.
    3. Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
    4. Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series 904, CESifo.
    5. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    6. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
    7. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
    8. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
    9. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    10. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
    11. Odening, Martin & Hinrichs, Jan, 2003. "Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 52(02), pages 1-11.
    12. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques.
    13. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    14. HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    16. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    17. Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
    18. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
    19. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    20. Guorui Bian & Michael McAleer & Wing-Keung Wong, 2012. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Documentos de Trabajo del ICAE 2012-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
    21. Christian M. Hafner & Sébastien Laurent & Francesco Violante, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," Post-Print hal-01590010, HAL.
    22. Maria Nikoloudaki & Dikaios Tserkezos, 2008. "Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results," Working Papers 0822, University of Crete, Department of Economics.
    23. Gaëlle Le Fol & Christian Gourieroux, 1998. "Effet des Modes de Négociation sur les Echanges," Post-Print halshs-00536273, HAL.
    24. Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
    25. Asai, Manabu & McAleer, Michael & de Veiga, Bernardo, 2008. "Portfolio single index (PSI) multivariate conditional and stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 209-214.
    26. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
    27. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    28. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
    29. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    30. John Cotter & Francois Longin, 2011. "Margin Requirements with Intraday Dynamics," Working Papers 200519, Geary Institute, University College Dublin.
    31. Hafner, C.M. & Rombouts, J.V.K., 2004. "Estimation of temporally aggregated multivariate GARCH models," Econometric Institute Research Papers EI 2004-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    32. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    33. SILVESTRINI, Andrea & SALTo, Matteo & MOULIN, Laurent & VEREDAS, David, 2009. "Monitoring and forecasting annual public deficit every month: the case of France," LIDAM Reprints CORE 2019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    34. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
    35. Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group.
    36. Fernandes, Marcelo & Vieira Filho, Jose Gil, 2020. "The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(2), March.
    37. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
    38. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    39. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
    40. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    41. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
    42. Nijman, T. & Beetsma, R., 1990. "Empirical Tests Of A Simple Pricing Model For Sugar Futures," Papers 9068, Tilburg - Center for Economic Research.
    43. Alexandre Petkovic & David Veredas, 2010. "Aggregation of linear models for panel data," ULB Institutional Repository 2013/136203, ULB -- Universite Libre de Bruxelles.
    44. Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    45. Benjamin Beckers & Helmut Herwartz & Moritz Seidel, 2017. "Risk forecasting in (T)GARCH models with uncorrelated dependent innovations," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 121-137, January.
    46. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
    47. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
    48. 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.
    49. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    50. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    51. Terraza Virginie & Toque Carole, 2008. "Times series Factorial models with incertitute measures on ARMA processes and its application to final data," LSF Research Working Paper Series 08-07, Luxembourg School of Finance, University of Luxembourg.
    52. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
    53. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    54. Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
    55. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
    56. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    57. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    58. Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
    59. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    60. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
    61. 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.
    62. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
    63. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
    64. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
    65. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
    66. Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2010. "Aggregational Gaussianity And Barely Infinite Variance In Crop Prices," DEOS Working Papers 1001, Athens University of Economics and Business.
    67. Kourentzes, Nikolaos & Petropoulos, Fotios & Trapero, Juan R., 2014. "Improving forecasting by estimating time series structural components across multiple frequencies," International Journal of Forecasting, Elsevier, vol. 30(2), pages 291-302.
    68. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
    69. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
    70. Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
    71. Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
    72. Crawley, Edmund, 2020. "In search of lost time aggregation," Economics Letters, Elsevier, vol. 189(C).
    73. Chan, Wai-Sum & Chan, Yin-Ting, 2008. "A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 728-735, April.
    74. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    75. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
    76. McMillan, David G. & Speight, Alan E. H., 2001. "Non-ferrous metals price volatility: a component analysis," Resources Policy, Elsevier, vol. 27(3), pages 199-207, September.
    77. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    78. Beetsma, R.M.W.J., 1991. "Bands and statistical properties of EMS exchange rates : A Monte Carlo investigation of three target zone model," Other publications TiSEM 2e32df5f-5552-40c3-9219-f, Tilburg University, School of Economics and Management.
    79. Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
    80. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    81. Ana María Iregui B. & Luis Fernando Melo V. & María Teresa Ramírez G. & Carmen Cecilia Delgado R., 2013. "El efecto de la volatilidad y del desalineamiento de la tasa de cambio real sobre la actividad de las empresas en Colombia," Borradores de Economia 11106, Banco de la Republica.
    82. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
    83. Shu Wen Ng & Edward C. Norton & David K. Guilkey & Barry M. Popkin, 2010. "Estimation of a Dynamic Model of Weight," NBER Working Papers 15864, National Bureau of Economic Research, Inc.
    84. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    85. Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
    86. Catherine Doz & Eric Renault, 2004. "Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation," THEMA Working Papers 2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    87. HAFNER, Christian & HERWARTZ, Helmut, 2001. "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE 2001039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    88. Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174996, HAL.
    89. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    90. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
    91. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    92. Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
    93. Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
    94. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    95. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
    96. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
    97. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society.
    98. Odening, Martin & Hinrichs, Jan, 2002. "Assessment Of Market Risk In Hog Production Using Value-At-Risk And Extreme Value Theory," 2002 Annual meeting, July 28-31, Long Beach, CA 19907, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    99. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
    100. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
    101. Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
    102. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
    103. Scotto, M. G., 2003. "A note on the asymptotic distribution of the maxima in disaggregated time-series models," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 127-137, November.
    104. Jurgen A. Doornik and Marius Ooms, 2001. "Multimodality and the GARCH Likelihood," Computing in Economics and Finance 2001 76, Society for Computational Economics.
    105. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.
    106. PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    107. Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.
    108. Farid, Saqib & Kayani, Ghulam Mujtaba & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain, 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 72(C).
    109. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research and International Relations Area.
    110. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
    111. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," NBER Working Papers 6844, National Bureau of Economic Research, Inc.
    112. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.
    113. Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January.
    114. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
    115. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.
    116. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    117. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    118. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    119. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    120. Cartwright, Phillip A. & Riabko, Natalija, 2015. "Measuring the effect of oil prices on wheat futures prices," Research in International Business and Finance, Elsevier, vol. 33(C), pages 355-369.
    121. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    122. Dias, Fabio S. & Peters, Gareth W., 2021. "Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence," Applied Mathematics and Computation, Elsevier, vol. 411(C).
    123. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the stochastic discount factor without a utility function," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 583, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    124. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
    125. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
    126. B.B. Chakrabarti & Vivek Rajvanshi, 2017. "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 1-28, April.
    127. Lars Forsberg & Anders Eriksson, 2004. "The Mean Variance Mixing GARCH (1,1) model," Econometric Society 2004 Australasian Meetings 323, Econometric Society.
    128. Paul Glasserman & Qi Wu, 2017. "Persistence and Procyclicality in Margin Requirements," Working Papers 17-01, Office of Financial Research, US Department of the Treasury.
    129. Stanislav Khrapov, 2011. "Pricing Central Tendency in Volatility," Working Papers w0168, Center for Economic and Financial Research (CEFIR).
    130. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
    131. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
    132. Hafner, Christian M. & Herwartz, Helmut, 2004. "Testing for Causality in Variance using Multivariate GARCH Models," Economics Working Papers 2004-03, Christian-Albrechts-University of Kiel, Department of Economics.
    133. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
    134. John W. Galbraith & Victoria Zinde-Walsh, 2001. "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers 2001s-15, CIRANO.
    135. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
    136. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    137. MEDDAHI, Nour & RENAULT, Éric, 1998. "Quadratic M-Estimators for ARCH-Type Processes," Cahiers de recherche 9814, Universite de Montreal, Departement de sciences economiques.
    138. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    139. Martha Misas A. & María Teresa Ramírez G. & Luisa Silva, 2001. "Exportaciones no tradicionales en Colombia y sus determinantes," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 19(39), pages 73-114, June.
    140. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    141. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
    142. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    143. Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010. "The Underlying Dynamics of Credit Correlations," Papers 1001.0786, arXiv.org.
    144. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
    145. Martha Misas & Maria Teresa Ramirez, 2004. "Long-run income and price elasticities of demand for Colombian nontraditional exports: a multivariate cointegration framework," Applied Economics, Taylor & Francis Journals, vol. 36(9), pages 931-938.
    146. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'économie 04.10, Université de Lausanne, Faculté des HEC, Département d’économie.
    147. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
    148. Stelios Arvanitis, 2021. "Stochastic dominance efficient sets and stochastic spanning," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 401-409, June.
    149. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    150. Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
    151. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
    152. Esben Hedegaard & Robert J. Hodrick, 2014. "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers 19969, National Bureau of Economic Research, Inc.
    153. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    154. Jacobsen, Ben & Dannenburg, Dennis, 2003. "Volatility clustering in monthly stock returns," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 479-503, September.
    155. Martens, Martin, 2001. "Forecasting daily exchange rate volatility using intraday returns," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 1-23, February.
    156. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    157. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
    158. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    159. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.
    160. Degui Li & Oliver Linton & Zudi Lu, 2010. "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series 549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    161. Trifi Amine, 2006. "Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-26, December.
    162. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
    163. Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
    164. Murad A. BEIN & Mehmet AGA, 2016. "On the Linkage between the International Crude Oil Price and Stock Markets: Evidence from the Nordic and Other European Oil Importing and Oil Exporting Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 115-134, December.
    165. Giacomo Sbrana, 2012. "Aggregation and marginalization of GARCH processes: some further results," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 165-172, August.
    166. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
    167. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
    168. Härdle, W.K. & Tsybakov, A.B., 1994. "How sensitive are average derivatives?," Other publications TiSEM 07ea66d2-29d5-4ec9-a59d-8, Tilburg University, School of Economics and Management.
    169. Tharcisse NKUNZIMANA & Tharcisse NKUNZIMANA & Jean-Baptiste HABYARIMANA, 2015. "Policy reforms and efficiency analysis in domestic agricultural markets. Evidence from an econometric analysis in Rwanda," EcoMod2015 8417, EcoMod.
    170. Wing-Keung Wong & Guorui Bian, 2005. "Robust Estimation of Multiple Regression Model with Non-normal Error: Symmetric Distribution," Monash Economics Working Papers 09/05, Monash University, Department of Economics.
    171. Dias, Gustavo Fruet & Kapetanios, George, 2018. "Estimation and forecasting in vector autoregressive moving average models for rich datasets," Journal of Econometrics, Elsevier, vol. 202(1), pages 75-91.
    172. Todd Prono, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.).
    173. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.
    174. John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
    175. Lemmen, J.J.G. & Eijffinger, S.C.W., 1993. "The degree of financial integration in the European Community," Other publications TiSEM 1d5446e8-2580-40dc-aee9-5, Tilburg University, School of Economics and Management.
    176. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
    177. Bernd Süssmuth, 2022. "The mutual predictability of Bitcoin and web search dynamics," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 435-454, April.
    178. Beetsma, Roel M. W. J., 1995. "EMS exchange rate bands: a Monte Carlo investigation of three target zone models," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 311-328, April.
    179. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
    180. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
    181. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
    182. Xinli Yu & Zheng Chen & Yuan Ling & Shujing Dong & Zongyi Liu & Yanbin Lu, 2023. "Temporal Data Meets LLM -- Explainable Financial Time Series Forecasting," Papers 2306.11025, arXiv.org.
    183. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Center for Research in Economics and Statistics.
    184. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    185. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    186. Cook, Steven, 2006. "The impact of GARCH on asymmetric unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 745-752.
    187. Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
    188. Demirer, Riza & Gupta, Rangan & Salisu, Afees A. & van Eyden, Reneé, 2023. "Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 295-302.
    189. Macaro, Christian, 2010. "Bayesian non-parametric signal extraction for Gaussian time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 381-395, August.
    190. Sucarrat, Genaro, 2020. "garchx: Flexible and Robust GARCH-X Modelling," MPRA Paper 100301, University Library of Munich, Germany.
    191. Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
    192. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
    193. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    194. Gabriel Pons Rotger, 2000. "Temporal Aggregation and Ordinary Least Squares Estimation of Cointegrating Regressions," Econometric Society World Congress 2000 Contributed Papers 1317, Econometric Society.
    195. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
    196. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
    197. Capobianco, Enrico, 2003. "Empirical volatility analysis: feature detection and signal extraction with function dictionaries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 495-518.
    198. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
    199. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
    200. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 335-357, December.
    201. Bertrand Maillet & Thierry Michel, 2003. "An index of market shocks based on multiscale analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 88-97.
    202. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    203. Kilian, Lutz & Manganelli, Simone, 2003. "The central bank as a risk manager: quantifying and forecasting inflation risks," Working Paper Series 226, European Central Bank.
    204. Juraj Hucek & Alexander Karsay & Marian Vavra, 2015. "Short-term Forecasting of Real GDP Using Monthly Data," Working and Discussion Papers OP 1/2015, Research Department, National Bank of Slovakia.
    205. Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    206. Corradi, Valentina, 2000. "Reconsidering the continuous time limit of the GARCH(1, 1) process," Journal of Econometrics, Elsevier, vol. 96(1), pages 145-153, May.
    207. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
    208. Phillip A. Cartwright & Natalija Riabko, 2019. "Do spot food commodity and oil prices predict futures prices?," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 153-194, July.
    209. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
    210. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
    211. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies 614, Umeå University, Department of Economics.
    212. Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen, 2004. "Introducing a scale of market shocks," Finance 0407004, University Library of Munich, Germany.
    213. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    214. Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
    215. Raknerud, Arvid & Skare, Øivind, 2012. "Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3260-3275.
    216. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, June.
    217. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, University Library of Munich, Germany, revised 02 Feb 2004.
    218. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
    219. Ahmed BenSaïda, 2021. "The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 540-570, April.
    220. Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.
    221. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    222. Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de Estadística.
    223. Sacht, Stephen, 2014. "Analysis of Various Shocks within the High-Frequency Versions of the Baseline New-Keynesian Model," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100372, Verein für Socialpolitik / German Economic Association.
    224. In-Bong Choi & Masanobu Taniguchi, 2003. "Prediction Problems for Square-Transformed Stationary Processes," Statistical Inference for Stochastic Processes, Springer, vol. 6(1), pages 43-64, January.
    225. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
    226. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.
    227. Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
    228. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
    229. Chen Xilong & Ghysels Eric & Wang Fangfang, 2011. "HYBRID GARCH Models and Intra-Daily Return Periodicity," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
    230. Geert Bekaert, 1994. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
    231. Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2013. "Aggregational Gaussianity and barely infinite variance in financial returns," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 102-108.
    232. Bao, Yong & Ullah, Aman, 2004. "Bias of a Value-at-Risk estimator," Finance Research Letters, Elsevier, vol. 1(4), pages 241-249, December.
    233. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The University of Manchester.
    234. Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
    235. Batten, Jonathan & Ellis, Craig, 2001. "Scaling relationships of Gaussian processes," Economics Letters, Elsevier, vol. 72(3), pages 291-296, September.
    236. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
    237. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
    238. Richard Hawkes & Paresh Date, 2007. "Medium‐term horizon volatility forecasting: A comparative study," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(6), pages 465-481, November.
    239. Tingguo Zheng & Han Xiao & Rong Chen, 2021. "Generalized Autoregressive Moving Average Models with GARCH Errors," Papers 2105.05532, arXiv.org.
    240. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
    241. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    242. John W. Galbraith & Liam Cheung, 2013. "Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model," CIRANO Working Papers 2013s-19, CIRANO.
    243. Phillip A. Cartwright & Natalija Riabko, 2016. "Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 579-605, October.
    244. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
    245. A. B. M. Rabiul Alam Beg & Sajid Anwar, 2014. "Detecting volatility persistence in GARCH models in the presence of the leverage effect," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2205-2213, December.
    246. Tingguo Zheng & Han Xiao & Rong Chen, 2022. "Generalized autoregressive moving average models with GARCH errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 125-146, January.
    247. Arthur M. Berd, 2011. "The Nature of Alpha," Papers 1112.1114, arXiv.org.
    248. Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics 2179, Faculty of Economics, University of Cambridge.
    249. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    250. Enrique Sentana, 1998. "The relation between conditionally heteroskedastic factor models and factor GARCH models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-9.
    251. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society.
    252. David Mcmillan & Alan Speight, 1998. "Asymmetric volatility in industrial production: some international evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(6), pages 375-381.
    253. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    254. Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
    255. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," Journal of Econometrics, Elsevier, vol. 193(2), pages 367-389.
    256. Bartsch, Zachary, 2019. "Economic policy uncertainty and dollar-pound exchange rate return volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    257. David McMillan & Alan Speight, 2002. "Temporal aggregation, volatility components and volume in high frequency UK bond futures," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 70-92.
    258. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    259. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    260. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    261. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
    262. Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
    263. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    264. Wang, Jying-Nan & Yeh, Jin-Huei & Cheng, Nick Ying-Pin, 2011. "How accurate is the square-root-of-time rule in scaling tail risk: A global study," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1158-1169, May.
    265. Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    266. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
    267. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    268. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2012. "Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections," DEOS Working Papers 1226, Athens University of Economics and Business.
    269. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.
    270. Anatolyev, Stanislav & Tarasyuk, Irina, 2015. "Missing mean does no harm to volatility!," Economics Letters, Elsevier, vol. 134(C), pages 62-64.
    271. Richard T. Baillie & Aydin A. Cecen & Young-Wook Han, 2000. "High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 247-267, September.
    272. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
    273. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    274. Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June.
    275. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    276. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    277. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
    278. Anyfantaki, Sofia & Arvanitis, Stelios & Topaloglou, Nikolas, 2021. "Diversification benefits in the cryptocurrency market under mild explosivity," European Journal of Operational Research, Elsevier, vol. 295(1), pages 378-393.
    279. Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
    280. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
    281. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    282. Chan, W.S. & Cheung, S.H. & Zhang, L.X. & Wu, K.H., 2008. "Temporal aggregation of equity return time-series models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 172-180.
    283. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    284. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    285. Sucarrat, Genaro, 2021. "Identification of volatility proxies as expectations of squared financial returns," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1677-1690.
    286. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Other publications TiSEM 0c1ff78c-d484-43bb-bcc3-a, Tilburg University, School of Economics and Management.
    287. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily euro-dollar volatility," Post-Print halshs-00118789, HAL.
    288. Apostolos Serletis & Libo Xu, "undated". "Volatility and a Century of Energy Markets Dynamics," Working Papers 2016-29, Department of Economics, University of Calgary, revised 28 Jan 2016.
    289. Francis X. Diebold & Andrew Hickman & Atsushi Inoue & Til Schuermann, 1997. "Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think," Center for Financial Institutions Working Papers 97-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    290. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.
    291. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
    292. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    293. Aydin Cecen, A. & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence," Economics Letters, Elsevier, vol. 51(3), pages 323-329, June.
    294. Komunjer, Ivana, 2001. "Consistent Estimation for Aggregated GARCH," University of California at San Diego, Economics Working Paper Series qt1fp2v3q7, Department of Economics, UC San Diego.
    295. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
    296. Alan E. H. Speight & David G. McMillan, 2004. "Daily volatility forecasts: reassessing the performance of GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 449-460.
    297. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.

Articles

  1. Becheri, I. Gaia & Drost, Feike C. & van den Akker, Ramon & Wichert, Oliver, 2016. "The power envelope of panel unit root tests in case stationary alternatives offset explosive ones," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 1-8.

    Cited by:

    1. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.

  2. I. Gaia Becheri & Feike C. Drost & Bas J.M. Werker, 2016. "Asymptotic Inference for Jump Diffusions with State-Dependent Intensity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 520-542, June.

    Cited by:

    1. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.

  3. Gaia Becheri, I. & Drost, Feike C. & Akker, Ramon van den, 2015. "Asymptotically Ump Panel Unit Root Tests—The Effect Of Heterogeneity In The Alternatives," Econometric Theory, Cambridge University Press, vol. 31(3), pages 539-559, June.

    Cited by:

    1. Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen, 2022. "Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order," Working Paper 1429, Economics Department, Queen's University.
    2. Norkutė, Milda & Westerlund, Joakim, 2021. "The factor analytical approach in near unit root interactive effects panels," Journal of Econometrics, Elsevier, vol. 221(2), pages 569-590.
    3. Westerlund, Joakim & Larsson, Rolf, 2015. "New tools for understanding the local asymptotic power of panel unit root tests," Journal of Econometrics, Elsevier, vol. 188(1), pages 59-93.
    4. Becheri, I. Gaia & Drost, Feike C. & van den Akker, Ramon & Wichert, Oliver, 2016. "The power envelope of panel unit root tests in case stationary alternatives offset explosive ones," Statistics & Probability Letters, Elsevier, vol. 108(C), pages 1-8.
    5. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.

  4. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485, April.

    Cited by:

    1. Mohamed Sadoun & Mohamed Bentarzi, 2021. "Locally asymptotically efficient estimation for parametric PINAR(p) models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 75(3), pages 257-289, August.
    2. Yang, Kai & Yu, Xinyang & Zhang, Qingqing & Dong, Xiaogang, 2022. "On MCMC sampling in self-exciting integer-valued threshold time series models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    3. Raju Maiti & Atanu Biswas & Samarjit Das, 2016. "Coherent forecasting for count time series using Box–Jenkins's AR(p) model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(2), pages 123-145, May.
    4. Jentsch, Carsten & Leucht, Anne, 2014. "Bootstrapping Sample Quantiles of Discrete Data," Working Papers 14-15, University of Mannheim, Department of Economics.
    5. Tianqing Liu & Xiaohui Yuan, 2013. "Random rounded integer-valued autoregressive conditional heteroskedastic process," Statistical Papers, Springer, vol. 54(3), pages 645-683, August.
    6. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
    7. Bisaglia, Luisa & Canale, Antonio, 2016. "Bayesian nonparametric forecasting for INAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 70-78.
    8. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Naushad Mamode Khan, 2019. "Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework," JRFM, MDPI, vol. 12(2), pages 1-13, April.
    9. Ali Ahmad & Christian Francq, 2015. "Poisson QMLE of Count Time Series Models," Post-Print hal-01533548, HAL.
    10. Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
    11. Mirko Armillotta & Paolo Gorgi, 2023. "Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models," Tinbergen Institute Discussion Papers 23-054/III, Tinbergen Institute.
    12. Yao Rao & David Harris & Brendan McCabe, 2022. "A semi‐parametric integer‐valued autoregressive model with covariates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 495-516, June.
    13. Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019. "Approximate Bayesian forecasting," International Journal of Forecasting, Elsevier, vol. 35(2), pages 521-539.
    14. Germán Aneiros, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 439-441, September.
    15. Zeng, Xiaoqiang & Kakizawa, Yoshihide, 2022. "Bias-correction of some estimators in the INAR(1) process," Statistics & Probability Letters, Elsevier, vol. 187(C).
    16. Vance L. Martin & Andrew R. Tremayne & Robert C. Jung, 2014. "Efficient Method Of Moments Estimators For Integer Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 491-516, November.
    17. Robert C. Jung & Andrew R. Tremayne, 2020. "Maximum-Likelihood Estimation in a Special Integer Autoregressive Model," Econometrics, MDPI, vol. 8(2), pages 1-15, June.
    18. Luisa Bisaglia & Margherita Gerolimetto, 2019. "Model-based INAR bootstrap for forecasting INAR(p) models," Computational Statistics, Springer, vol. 34(4), pages 1815-1848, December.

  5. Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008. "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June.
    See citations under working paper version above.
  6. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
    See citations under working paper version above.
  7. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007. "The Impact of Overnight Periods on Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(2), pages 517-533, June.
    See citations under working paper version above.
  8. Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
    See citations under working paper version above.
  9. Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
    See citations under working paper version above.
  10. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.
    See citations under working paper version above.
  11. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    See citations under working paper version above.
  12. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
    See citations under working paper version above.
  13. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    See citations under working paper version above.
  14. Drost F. C. & Kallenberg W. C. M. & Oosterhoff J., 1990. "The Power Of Edf Tests Of Fit Under Non-Robust Estimation Of Nuisance Parameters," Statistics & Risk Modeling, De Gruyter, vol. 8(2), pages 167-182, February.

    Cited by:

    1. Simos Meintanis & Bojana Milošević & Marko Obradović, 2023. "Bahadur efficiency for certain goodness-of-fit tests based on the empirical characteristic function," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(7), pages 723-751, October.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.