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Marcel P. Visser

Personal Details

First Name:Marcel
Middle Name:P.
Last Name:Visser
Suffix:
RePEc Short-ID:pvi113
[This author has chosen not to make the email address public]
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http://staff.science.uva.nl/~marvisse/

Affiliation

Universiteit van Amsterdam, Faculty of Science, Korteweg-de Vries Institute for Mathematics

http://www.science.uva.nl/math/home.cfm
The Netherlands, Amsterdam

Research output

as
Jump to: Working papers Articles

Working papers

  1. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  2. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
  3. Robin De Vilder & Marcel P. Visser, 2007. "Proxies for daily volatility," PSE Working Papers halshs-00588307, HAL.
  4. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.

Articles

  1. Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 162-197, Winter.

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. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.

    Cited by:

    1. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
    2. Andrew J. Patton & Kevin Sheppard, 2015. "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 683-697, July.

  2. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.

    Cited by:

    1. 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.
    2. Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
    3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
    5. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2015. "Which continuous-time model is most appropriate for exchange rates?," Post-Print hal-01457402, HAL.
    6. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
    7. Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011. "Common Intraday Periodicity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 325-353, 2012 20 1.
    8. 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.
    9. Piotr Fiszeder & Grzegorz Perczak, 2013. "A new look at variance estimation based on low, high and closing prices taking into account the drift," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 456-481, November.
    10. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
    11. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.

  3. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.

    Cited by:

    1. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany.
    2. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.

Articles

  1. Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 162-197, Winter.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (3) 2007-09-24 2008-06-21 2008-10-21
  2. NEP-MST: Market Microstructure (3) 2007-09-24 2008-06-21 2008-10-21
  3. NEP-ECM: Econometrics (2) 2007-09-24 2008-06-21
  4. NEP-ORE: Operations Research (2) 2008-06-21 2008-10-21
  5. NEP-FOR: Forecasting (1) 2008-10-21
  6. NEP-RMG: Risk Management (1) 2008-10-21

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