The Distribution of Exchange Rate Volatility
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- 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 & 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.
References listed on IDEAS
- John Geweke & Susan Porter‐Hudak, 1983.
"The Estimation And Application Of Long Memory Time Series Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 221-238, July.
- Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
- Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May.
- Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
- John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
- Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Giraitis, Liudas & Robinson, Peter M., 1998. "Variance-type estimation of long memory," LSE Research Online Documents on Economics 2327, London School of Economics and Political Science, LSE Library.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- 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).
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April.
- Danielsson, Jon & Payne, Richard, 1999. "Real trading patterns and prices in spot foreign exchange markets," LSE Research Online Documents on Economics 119126, London School of Economics and Political Science, LSE Library.
- Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
- 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.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Bruno Solnik & François Longin, 1998. "Correlation Structure of International Equity Markets During Extremely Volatile Periods," Working Papers hal-00599996, HAL.
- Bollerslev, Tim & Melvin, Michael, 1994. "Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis," Journal of International Economics, Elsevier, vol. 36(3-4), pages 355-372, May.
- 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.
- David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.
- 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.
- Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
- Robinson, P.M. & Henry, M., 1999. "Long And Short Memory Conditional Heteroskedasticity In Estimating The Memory Parameter Of Levels," Econometric Theory, Cambridge University Press, vol. 15(3), pages 299-336, June.
- Robinson, Peter M. & Henry, Marc, 1998. "Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 2022, London School of Economics and Political Science, LSE Library.
- Robinson, Peter M. & Henry, M., 1999. "Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 304, London School of Economics and Political Science, LSE Library.
- 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.
- Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Other publications TiSEM 4a81702c-3af7-4b6c-99b6-5, Tilburg University, School of Economics and Management.
- 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.
- Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
- Andrew W. Lo & Craig A. MacKinlay, "undated". "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
- Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
- 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.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- 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.
- Paolo Zaffaroni & Peter M. Robinson, 1997. "Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility," FMG Discussion Papers dp253, Financial Markets Group.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
- Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
- Tom Doan, "undated". "RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects," Statistical Software Components RTZ00172, Boston College Department of Economics.
- Andrew Ang & Geert Bekaert, 1999. "International Asset Allocation with Time-Varying Correlations," NBER Working Papers 7056, National Bureau of Economic Research, Inc.
- Schwert, G William, 1990. "Stock Volatility and the Crash of '87," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
- Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
- G. William Schwert, 1989. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
- Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
- Deo, Rohit S. & Hurvich, Clifford M., 2001. "On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 17(4), pages 686-710, August.
- Diebold, Francis X. & Lindner, Peter, 1996. "Fractional integration and interval prediction," Economics Letters, Elsevier, vol. 50(3), pages 305-313, March.
- 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.
- repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
- 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.
- Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
- 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.
- Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
- A. Ronald Gallant & George Tauchen, "undated". "Reproducing Partial Observed Systems with Application to Interest Rate Diffusions," Computing in Economics and Finance 1997 114, Society for Computational Economics.
- L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
- Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, vol. 61(1), pages 167-186, January.
- 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.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Wright, Jonathan H, 1999. "Testing for a Unit Root in the Volatility of Asset Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 309-318, May-June.
- 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.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- 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.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
- Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
- Hsieh, David A, 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
- 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.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 317-340, December.
- S. Maheswaran & Christopher A. Sims, 1992. "Empirical Implications of Arbitrage-Free Asset Markets," Cowles Foundation Discussion Papers 1008, Cowles Foundation for Research in Economics, Yale University.
- repec:bla:jfinan:v:53:y:1998:i:6:p:2059-2106 is not listed on IDEAS
- 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.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "A Multifractal Model of Asset Returns," Working Papers hal-00601870, HAL.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Bruno Solnik & François Longin, 1998. "Dependence Structure of International Equity Markets During Extremely Volatile Periods," Working Papers hal-00599994, HAL.
- Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- 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.
- Bollerslev, Tim & Domowitz, Ian, 1993. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
- Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
- Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
- 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.
- Granger, C.W.J. (Clive William John) & Marmol, Francesc, 1998. "The correlogram of a long memory process plus a simple noise," DES - Working Papers. Statistics and Econometrics. WS 9820, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
- 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.
- Peter M Robinson & Paolo Zaffaroni, 1997. "Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)," STICERD - Econometrics Paper Series 319, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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. Full references (including those not matched with items on IDEAS)
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.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- 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.
- 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 & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, 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.
- Ana Pérez & Esther Ruiz, 2002.
"Modelos de memoria larga para series económicas y financieras,"
Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jonathan Wright, 2002.
"Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
- Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.).
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427,
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- Meddahi, Nour & Renault, Eric, 2004.
"Temporal aggregation of volatility models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
- Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
- Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
- Torben G. Andersen & Tim Bollerslev & 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,"
PIER Working Paper Archive
03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
- 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).
- Elena Andreou & Eric Ghysels, 2002.
"Detecting multiple breaks in financial market volatility dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- 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.
- 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.
- 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, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- 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.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
- 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.
- Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
- Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
- 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.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
Corrections
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:fth:nystfi:99-059. See general information about how to correct material in RePEc.
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: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/fdnyuus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.