IDEAS home Printed from https://ideas.repec.org/r/cor/louvco/2011058.html

Volatility models

Citations

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


Cited by:

  1. 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.
  2. 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.
  3. repec:hum:wpaper:sfb649dp2011-064 is not listed on IDEAS
  4. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  5. 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.
  6. 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.
  7. repec:hum:wpaper:sfb649dp2011-083 is not listed on IDEAS
  8. repec:hum:wpaper:sfb649dp2011-071 is not listed on IDEAS
  9. repec:hum:wpaper:sfb649dp2011-069 is not listed on IDEAS
  10. 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.
  11. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," LIDAM Discussion Papers CORE 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. 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.
  13. 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.
  14. repec:hum:wpaper:sfb649dp2011-082 is not listed on IDEAS
  15. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  16. repec:hum:wpaper:sfb649dp2011-065 is not listed on IDEAS
  17. repec:hum:wpaper:sfb649dp2011-063 is not listed on IDEAS
  18. 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.
  19. 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.
  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. repec:hum:wpaper:sfb649dp2011-084 is not listed on IDEAS
  22. repec:hum:wpaper:sfb649dp2011-072 is not listed on IDEAS
  23. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  25. 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.
  26. repec:hum:wpaper:sfb649dp2011-067 is not listed on IDEAS
  27. Kurose, Yuta & Omori, Yasuhiro, 2016. "Dynamic equicorrelation stochastic volatility," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 795-813.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.