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Citations for "Generalized autoregressive conditional heteroskedasticity"

by Tim Bollerslev

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  1. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  2. Vazquez, Miguel & Barquín, Julián, 2009. "A fundamental power price model with oligopolistic competition representation," MPRA Paper 15629, University Library of Munich, Germany.
  3. Juan Nicolau & María Santa-María, 2013. "Celebrity endorsers' performance on the “ground” and on the “floor”," Marketing Letters, Springer, vol. 24(2), pages 143-149, June.
  4. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Society for Computational Economics, vol. 46(1), pages 65-82, June.
  5. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division.
  6. Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
  7. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
  8. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA.
  9. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
  10. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund.
  11. Timo Terasvirta & Zhenfang Zhao, 2011. "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
  12. Monfort, Alain, 1992. "Quelques développements récents des méthodes macroéconométriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 305-324, mars et j.
  13. Lim, G.C., 2005. "Currency risk in excess equity returns: a multi time-varying beta approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 189-207, July.
  14. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
  15. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
  16. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, EconWPA, revised 10 Oct 2003.
  17. Harry Vander Elst & David Veredas, 2014. "Disentangled jump-robust realized covariances and correlations with non-synchronous prices," Statistics and Econometrics Working Papers es142416, Universidad Carlos III, Departamento de Estadística y Econometría.
  18. G. Boero & E. Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  19. Steeley, James M. & Matyushkin, Alexander, 2015. "The effects of quantitative easing on the volatility of the gilt-edged market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 113-128.
  20. Sonsino, Doron & Regev, Eran, 2013. "Informational overconfidence in return prediction – More properties," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 72-84.
  21. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
  22. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus.
  23. Hwang, S. Y. & Basawa, I. V., 2004. "Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 209-220, July.
  24. Huang, Bwo-Nung & Yang, Chin-Wei, 2000. "The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets," Journal of Comparative Economics, Elsevier, vol. 28(2), pages 321-339, June.
  25. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
  26. Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
  27. Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.).
  28. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
  29. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus.
  30. Hoshikawa, Takeshi, 2008. "The effect of intervention frequency on the foreign exchange market: The Japanese experience," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 547-559, June.
  31. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 1218, Federal Reserve Bank of Cleveland.
  32. Tinkl, Fabian, 2010. "Asymptotic theory for M estimators for martingale differences with applications to GARCH models," IWQW Discussion Paper Series 09/2010, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
  33. 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 1749-78, December.
  34. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  35. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.
  36. El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
  37. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
  38. Ponomareva, K. & Roman, D. & Date, P., 2015. "An algorithm for moment-matching scenario generation with application to financial portfolio optimisation," European Journal of Operational Research, Elsevier, vol. 240(3), pages 678-687.
  39. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 208-230, Spring.
  40. Tharcisse NKUNZIMANA & François Kayitakire, 2013. "Measuring food price volatility and transmission in West Africa: How important are magnitudes of transmission across cereals and countries?," EcoMod2013 5219, EcoMod.
  41. M. Berument & Yeliz Yalcin & Julide Yildirim, 2011. "The inflation and inflation uncertainty relationship for Turkey: a dynamic framework," Empirical Economics, Springer, vol. 41(2), pages 293-309, October.
  42. Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain," CIRJE F-Series CIRJE-F-665, CIRJE, Faculty of Economics, University of Tokyo.
  43. Pownall, Rachel A. J. & Koedijk, Kees G., 1999. "Capturing downside risk in financial markets: the case of the Asian Crisis," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 853-870, December.
  44. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  45. Chia-lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures," Managerial Finance, Emerald Group Publishing, vol. 37(11), pages 1088-1106, October.
  46. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
  47. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012. "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series 315, Quantitative Finance Research Centre, University of Technology, Sydney.
  48. Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 227-236, November.
  49. Robert F. Stambaugh, 1993. "Estimating Conditional Expectations when Volatility Fluctuates," NBER Technical Working Papers 0140, National Bureau of Economic Research, Inc.
  50. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  51. Moysiadis, Theodoros & Fokianos, Konstantinos, 2014. "On binary and categorical time series models with feedback," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 209-228.
  52. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," CORE Discussion Papers 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  53. Jamshed Y. Uppal, 1993. "The Internationalisation of the Pakistani Stock Market: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 605-618.
  54. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  55. Masato Ubukata & Toshiaki Watanabe, 2013. "Pricing Nikkei 225 Options Using Realized Volatility," Global COE Hi-Stat Discussion Paper Series gd12-273, Institute of Economic Research, Hitotsubashi University.
  56. repec:cep:stiecm:/2000/396 is not listed on IDEAS
  57. Sambit Bhattacharyya & Jeffrey G. Williamson, 2013. "Distributional Impact of Commodity Price Shocks: Australia over a Century," OxCarre Working Papers 117, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  58. Saacke, Peter, 2002. "Technical analysis and the effectiveness of central bank intervention," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 459-479, August.
  59. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
  60. Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis, 2012. "Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate," DUTH Research Papers in Economics 5-2012, Democritus University of Thrace, Department of Economics.
  61. Zhou, Anjun, 2002. "Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 35-56, January.
  62. Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
  63. Sendhil, R. & Kar, Amit & Mathur, V.C. & Jha, Girish K., 2013. "Price Discovery, Transmission and Volatility: Evidence from Agricultural Commodity Futures," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 26(1).
  64. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
  65. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
  66. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
  67. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-13, Center of Finance and Econometrics, University of Konstanz.
  68. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
  69. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  70. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
  71. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  72. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  73. He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
  74. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  75. Tai, Vivian W. & Lai, Yi-Hsun & Lin, Lin, 2014. "Local institutional shareholders and corporate hedging policies," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 287-312.
  76. Adams, Zeno & Gerner, Mathias, 2012. "Cross hedging jet-fuel price exposure," Energy Economics, Elsevier, vol. 34(5), pages 1301-1309.
  77. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
  78. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  79. Hakim, A. & McAleer, M.J., 2009. "VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," Econometric Institute Research Papers EI 2009-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  80. Carlos Bautista, 2005. "How volatile are East Asian stocks during high volatility periods?," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 319-326.
  81. Mohamed AROURI & Makram BELLALAH & D.-K. NGUYEN, 2008. "The Commovements in International Stock Markets : New Evidence from Lating American Emerging Countries," Working Papers 1562, Orleans Economic Laboratorys, University of Orleans.
  82. Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
  83. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  84. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation for Research in Economics, Yale University.
  85. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
  86. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
  87. William Barnett & Apostolos Serletis & Demitre Serletis, 2012. "Nonlinear and Complex Dynamics in Economics," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201238, University of Kansas, Department of Economics, revised Sep 2012.
  88. Jamal Bouoiyour & Refk Selmi, 2014. "Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model," Economics Bulletin, AccessEcon, vol. 34(1), pages 220-233.
  89. 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.
  90. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
  91. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, vol. 22(1), pages 24-38.
  92. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
  93. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
  94. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  95. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre.
  96. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Working Papers in Economics 13/23, University of Canterbury, Department of Economics and Finance.
  97. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía.
  98. Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
  99. Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  100. Lubos Briatka, 2006. "How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World," CERGE-EI Working Papers wp308, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  101. Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
  102. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.).
  103. Kang, In-Bong, 1999. "International foreign exchange agreements and nominal exchange rate volatility: a GARCH application," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 453-472.
  104. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo Group Munich.
  105. Roland Füss & Michael Bechtel, 2008. "Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election," Public Choice, Springer, vol. 135(3), pages 131-150, June.
  106. Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Effect of Oil Price on Global Fertilizer Prices," Working Papers in Economics 10/55, University of Canterbury, Department of Economics and Finance.
  107. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical Diversification with a World Volatility Index," Economics Papers from University Paris Dauphine 123456789/14797, Paris Dauphine University.
  108. Loredana Ureche-Rangau & Fabien Collado & Ulysse Galiay, 2011. "The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 2569-2583.
  109. Vinod Chandrashekaran, 1999. "Time-Series Properties and Diversification Benefits of REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 91-112.
  110. Bruce Mizrach, 2004. "A Video Interview of Buz Brock," Departmental Working Papers 200417, Rutgers University, Department of Economics.
  111. Alina Lucia Trifan, 2009. "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 43.
  112. Onur Ozgur & Alberto Bisin, 2011. "Dynamic linear economies with social interactions," Levine's Working Paper Archive 786969000000000036, David K. Levine.
  113. Chung, Huimin & Lee, Chin-Shen & Wu, Soushan, 2002. "The effects of model errors and market imperfections on financial institutions writing derivative warrants: Simulation evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 10(1), pages 55-75, January.
  114. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  115. Oh, Dong Hwan & Patton, Andrew J., 2015. "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-51, Board of Governors of the Federal Reserve System (U.S.).
  116. Cheng, Tsung-Lin, 2009. "An efficient algorithm for estimating a change-point," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 559-565, March.
  117. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  118. Janecskó, Balázs, 2000. "Idősor-modellezés és opcióárazás csonkolt Lévy-eloszlással
    [Time-series modelling and option pricing with a truncated Lévy distribution]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 899-917.
  119. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
  120. Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print peer-00732539, HAL.
  121. Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos, 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," LCERPA Working Papers 0087, Laurier Centre for Economic Research and Policy Analysis, revised 01 Feb 2015.
  122. Zonghao Chen, 2014. "Index Future Trading, Spot Volatility And Market Efficiency," Journal of Management Sciences, Iqra University, Faculty of Management Sciences, vol. 1(2), pages 73-101, October.
  123. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
  124. Gropp, Reint & Kadareja, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  125. Giordani, Paolo & Soderlind, Paul, 2003. "Inflation forecast uncertainty," European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
  126. Genaro Sucarrat & Álvaro Escribano, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," Economics Working Papers we1321, Universidad Carlos III, Departamento de Economía.
  127. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper Series 28_13, The Rimini Centre for Economic Analysis.
  128. MEDDAHI, Nour, 2002. "ARMA Representation of Integrated and Realized Variances," Cahiers de recherche 2002-20, Universite de Montreal, Departement de sciences economiques.
  129. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  130. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, .
  131. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.
  132. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
  133. Korap, Levent, 2009. "On the links between inflation, output growth and uncertainty: system-GARCH evidence from the Turkish economy," MPRA Paper 19054, University Library of Munich, Germany.
  134. Li, Kui-Wai & Kwok, Ming-Lok, 2009. "Output volatility of five crisis-affected East Asia economies," Japan and the World Economy, Elsevier, vol. 21(2), pages 172-182, March.
  135. Korap, Levent, 2010. "An econometric essay for the asymmetric volatility content of the portfolio flows: EGARCH evidence from the Turkish economy," MPRA Paper 28752, University Library of Munich, Germany.
  136. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  137. Ramona Dumitriu & Razvan Stefanescu, 2013. "Tom Effects During Quiet And Turbulent Times," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 131-148.
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