IDEAS home Printed from https://ideas.repec.org/r/aiz/louvar/2012028.html

Volatility Models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez, 2013. "The rise and fall of S&P500 variance futures," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 151-167.
  2. repec:hum:wpaper:sfb649dp2011-072 is not listed on IDEAS
  3. repec:hum:wpaper:sfb649dp2011-067 is not listed on IDEAS
  4. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  5. repec:hum:wpaper:sfb649dp2011-082 is not listed on IDEAS
  6. Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
  7. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  8. repec:hum:wpaper:sfb649dp2011-065 is not listed on IDEAS
  9. repec:hum:wpaper:sfb649dp2011-063 is not listed on IDEAS
  10. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. repec:hum:wpaper:sfb649dp2011-083 is not listed on IDEAS
  12. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
  13. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," LIDAM Discussion Papers CORE 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. Kurose, Yuta & Omori, Yasuhiro, 2016. "Dynamic equicorrelation stochastic volatility," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 795-813.
  15. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017. "A vector heterogeneous autoregressive index model for realized volatility measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
  16. Burda Martin & Maheu John M., 2013. "Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 345-372, September.
  17. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  18. repec:hum:wpaper:sfb649dp2011-071 is not listed on IDEAS
  19. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  20. H. F. Lopes & R. E. McCulloch & R. S. Tsay, 2014. "Parsimony Inducing Priors for Large Scale State-Space Models," Business and Economics Working Papers 205, Unidade de Negocios e Economia, Insper.
  21. Yaya, OlaOluwa S. & Tumala, Mohammed M. & Udomboso, Christopher G., 2016. "Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis," Resources Policy, Elsevier, vol. 49(C), pages 273-281.
  22. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
  23. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  24. repec:hum:wpaper:sfb649dp2011-064 is not listed on IDEAS
  25. repec:hum:wpaper:sfb649dp2011-084 is not listed on IDEAS
  26. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  27. repec:hum:wpaper:sfb649dp2011-069 is not listed on IDEAS
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.