A model for vast panels of volatilities
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Citations
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- Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
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- Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2014. "Firm Volatility in Granular Networks," 2014 Meeting Papers 253, Society for Economic Dynamics.
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- KALNINA, Ilze & TEWOU, Kokouvi, 2015. "Cross-sectional dependence in idiosyncratic volatility," Cahiers de recherche 2015-04, Universite de Montreal, Departement de sciences economiques.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014.
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- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
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- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly & Bernard Herskovic, 2014. "The Common Factor in Idiosyncratic Volatility," 2014 Meeting Papers 810, Society for Economic Dynamics.
- Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.
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More about this item
Keywords
Realized volatilities; vast dimensions; factor models; long–memory; forecasting;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-09-22 (Econometrics)
- NEP-ETS-2012-09-22 (Econometric Time Series)
- NEP-RMG-2012-09-22 (Risk Management)
Statistics
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