Temporal Aggregation of Volatility Models
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
Other versions of this item:
- Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
- Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
References listed on IDEAS
- Drost, Feike C & Nijman, Theo E, 1993.
"Temporal Aggregation of GARCH Processes,"
Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Discussion Paper 1992-40, Tilburg University, Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Other publications TiSEM afe8fdcf-5f83-44b5-8da3-5, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Other publications TiSEM 929bb665-083a-4d60-906d-e, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1994. "Temporal aggregation of GARCH processes," Other publications TiSEM b6718003-2fa5-43bb-a690-d, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Discussion Paper 1990-66, Tilburg University, Center for Economic Research.
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Hansen, Lars Peter, 1985. "A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 203-238.
- Drost, Feike C & Nijman, Theo E, 1993.
"Temporal Aggregation of GARCH Processes,"
Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Other publications TiSEM 929bb665-083a-4d60-906d-e, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Other publications TiSEM afe8fdcf-5f83-44b5-8da3-5, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Discussion Paper 1990-66, Tilburg University, Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1994. "Temporal aggregation of GARCH processes," Other publications TiSEM b6718003-2fa5-43bb-a690-d, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
- Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, Tilburg University, School of Economics and Management.
- Drost, F.C. & Nijman, T.E., 1992. "Temporal aggregation of GARCH processes," Discussion Paper 1992-40, Tilburg University, Center for Economic Research.
- Meddahi, Nour & Renault, Eric, 2004.
"Temporal aggregation of volatility models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
- Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
- Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
- Fabienne Comte & Eric Renault, 1998.
"Long memory in continuous‐time stochastic volatility models,"
Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323, October.
- Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
- repec:crs:wpaper:9855 is not listed on IDEAS
- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
- Diebold, Francis X & Nerlove, Marc, 1989.
"The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
- Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model," Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.).
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-389, October.
- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995.
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes,"
Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
- Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
- West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability,"
Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
- West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers 9417, Wisconsin Madison - Social Systems.
- Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, University Library of Munich, Germany.
- Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005.
"Principal Components and the Long Run,"
Levine's Bibliography
122247000000000997, UCLA Department of Economics.
- Xiaohong Chen & Lars Peter Hansen & Jose A. Scheinkman, 2009. "Principal components and the long run," CeMMAP working papers CWP07/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
"Modeling and pricing long memory in stock market volatility,"
Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
- Tom Doan, "undated". "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Diebold & Lopez, "undated".
"Modeling Volatility Dynamics,"
Home Pages
_062, University of Pennsylvania.
- Francis X. Diebold & Jose A. Lopez, 1995. "Modeling volatility dynamics," Research Paper 9522, Federal Reserve Bank of New York.
- Palm, Franz C & Nijman, Theo E, 1984.
"Missing Observations in the Dynamic Regression Model,"
Econometrica, Econometric Society, vol. 52(6), pages 1415-1435, November.
- Palm, F.C. & Nijman, Th., 1982. "Missing observations in the dynamic regression model," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Nijman, T.E. & Palm, F.C., 1984. "Missing observations in the dynamic regression model," Other publications TiSEM 4d689d7c-4d89-4ab6-b8c3-f, Tilburg University, School of Economics and Management.
- Nijman, Theo & Sentana, Enrique, 1996.
"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
- Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
- Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
- Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
- Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.
- 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.
- Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.
- Peter F. Christoffersen & Francis X. Diebold, 2000.
"How Relevant is Volatility Forecasting for Financial Risk Management?,"
The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February.
- Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-080, New York University, Leonard N. Stern School of Business-.
- 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.
- Francq, Christian & Zakoïan, Jean-Michel, 2000.
"Estimating Weak Garch Representations,"
Econometric Theory, Cambridge University Press, vol. 16(5), pages 692-728, October.
- Christian Francq & Jean-Michel Zakoïan, 1997. "Estimating Weak Garch Representations," Working Papers 97-40, Center for Research in Economics and Statistics.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Nelson, Daniel B, 1996. "Asymptotically Optimal Smoothing with ARCH Models," Econometrica, Econometric Society, vol. 64(3), pages 561-573, May.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- 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.
- Nelson, Daniel B., 1992. "Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Singleton, Kenneth J, 1996.
"Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 53-68, January.
- Lars Peter Hansen & Kenneth J. Singleton, 1997. "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors," NBER Technical Working Papers 0086, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
- Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990.
"Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills,"
Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
- Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet, 2002. "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 463-492, May.
- Engle, Robert F & Ng, Victor K, 1993.
"Measuring and Testing the Impact of News on Volatility,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- 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.
- Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre.
- repec:crs:wpaper:9908 is not listed on IDEAS
- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus, 2000. "Stationary Arch Models: Dependence Structure And Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 16(1), pages 3-22, February.
- Nelson, Daniel B & Foster, Dean P, 1994.
"Asymptotic Filtering Theory for Univariate ARCH Models,"
Econometrica, Econometric Society, vol. 62(1), pages 1-41, January.
- Daniel B. Nelson & Dean P. Foster, 1994. "Asypmtotic Filtering Theory for Univariate Arch Models," NBER Technical Working Papers 0129, National Bureau of Economic Research, Inc.
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
- 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.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
- Meddahi, N & Renault, E., 1996.
"Aggregations and Marginalization of Garch and Stochastic Volatility Models,"
Papers
96.433, Toulouse - GREMAQ.
- MEDDAHI, Nour & RENAULT, Éric, 1998. "Aggregations and Marginalization of GARCH and Stochastic Volatility Models," Cahiers de recherche 9818, Universite de Montreal, Departement de sciences economiques.
- Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar, 1998. "Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes," Econometric Theory, Cambridge University Press, vol. 14(6), pages 744-769, December.
- Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-552.
- Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
- Enrique Sentana, 1995.
"Quadratic ARCH Models,"
Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.
- Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 1995. "Quadratic ARCH Models," Working Papers wp1995_9517, CEMFI.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"Likelihood Inference for Discretely Observed Nonlinear Diffusions,"
Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
- Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
- Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
- Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- repec:zbw:cfswop:wp200508 is not listed on IDEAS
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Volatility Forecasting,"
CFS Working Paper Series
2005/08, Center for Financial Studies.
- 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).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Meddahi, N., 2001.
"An Eigenfunction Approach for Volatility Modeling,"
Cahiers de recherche
2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995.
"Stochastic Volatility,"
CIRANO Working Papers
95s-49, CIRANO.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
- 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.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- 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.
- Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
- Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
- Nour Meddahi, 2003.
"ARMA representation of integrated and realized variances,"
Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
- Nour MEDDAHI, 2002. "Arma Representation Of Integrated And Realized Variances," Cahiers de recherche 20-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2002. "ARMA Representation of Integrated and Realized Variances," Cahiers de recherche 2002-20, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
- Bontemps, Christian & Meddahi, Nour, 2005.
"Testing normality: a GMM approach,"
Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
- Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
- Christian Bontemps & Nour Meddahi, 2005. "Testing normality: a GMM approach," Post-Print hal-02875105, HAL.
- BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
- Christian BONTEMPS & Nour MEDDAHI, 2002. "Testing Normality : A Gmm Approach," Cahiers de recherche 14-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004.
"Analytical Evaluation Of Volatility Forecasts,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
- Bollerslev, Tim & Zhou, Hao, 2002.
"Estimating stochastic volatility diffusion using conditional moments of integrated volatility,"
Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
- Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- 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.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
- 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.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- 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.
- Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
- 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.
- 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.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
More about this item
Keywords
GARCH; stochastic volatility; state-space; SR-SARV; aggregation; asset returns; diffusion processes; infinitesimal generator; Eigenfunctions; GARCH; volatilité stochastique; espace-état; SR-SARV; agrégation; rendements d'actifs; processus de diffusion; générateur infinitésimal; fonctions propres;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2000-08-07 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cir:cirwor:2000s-22. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/ciranca.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Webmaster (email available below). General contact details of provider: https://edirc.repec.org/data/ciranca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.