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Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Citations

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Cited by:

  1. Fazil Yozgat, 2015. "A Simple Model about Regional Economic Cooperation – A Multidisciplinary Approach," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
  2. Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021. "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, vol. 37(1), pages 44-57.
  3. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
  4. Zheng, Dengjin & Gao, Jingtian & Zhang, Wei & Kwon, Jiwon, 2025. "When real estate trembles: Spillover effects on stock price volatility under China’s “Three Red Lines” policy," Finance Research Letters, Elsevier, vol. 86(PB).
  5. Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
  6. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Jan 2026.
  7. Everett Grant & Julieta Yung, 2025. "Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 111-130, March.
  8. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  9. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  10. Cipollini, Fabrizio & Gallo, Giampiero M., 2025. "Multiplicative Error Models: 20 years on," Econometrics and Statistics, Elsevier, vol. 33(C), pages 209-229.
  11. Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024. "Doubly multiplicative error models with long- and short-run components," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
  12. Kalnina, Ilze & Tewou, Kokouvi, 2025. "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
  13. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  14. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
  15. repec:rim:rimwps:18-26 is not listed on IDEAS
  16. Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
  17. Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
  18. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
  19. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  20. Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2020. "Firm Volatility in Granular Networks," Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4097-4162.
  21. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
  22. Pietro Coretto & Michele La Rocca & Giuseppe Storti, 2020. "Improving Many Volatility Forecasts Using Cross-Sectional Volatility Clusters," JRFM, MDPI, vol. 13(4), pages 1-23, March.
  23. Paul G. Egan & Anthony J. Leddin, 2016. "Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index," Asian Development Review, MIT Press, vol. 33(1), pages 74-110, March.
  24. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
  25. Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
  26. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
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