Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data
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References listed on IDEAS
- Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002.
"Let's get "real" about using economic data,"
Journal of Empirical Finance,
Elsevier, vol. 9(3), pages 343-360, August.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, "undated". "Let's Get "Real" about Using Economic Data," EPRU Working Paper Series 01-15, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers 2001s-44, CIRANO.
- Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
- Nathalie de Marcellis-Warin & Erwann Michel-Kerjan, 2001. "The Public-Private Sector Risk-Sharing in the French Insurance "Cat. Nat. System"""," CIRANO Working Papers 2001s-60, CIRANO.
More about this item
KeywordsGARCH model; integrated volatility; quantile regression; Modèle GARCH; volatilité intégrée; régression quantile;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2001-12-19 (Econometrics)
- NEP-FMK-2001-12-19 (Financial Markets)
- NEP-IFN-2001-12-19 (International Finance)
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