IDEAS home Printed from https://ideas.repec.org/r/fth/gremaq/95.400.html
   My bibliography  Save this item

Stochastic Volatility

Citations

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


Cited by:

  1. repec:hal:journl:peer-00815564 is not listed on IDEAS
  2. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
  3. Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
  4. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  5. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  6. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  7. 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-.
  8. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  9. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
  10. Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  11. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
  12. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  13. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
  14. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  15. Phoebe Koundouri & Theologos Pantelidis & Ben Groom & Ekaterini Panopoulou, 2007. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 641-656.
  16. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
  17. 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.
  18. David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001. "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers 2001-19, Center for Research in Economics and Statistics.
  19. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  20. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Center for Research in Economics and Statistics.
  21. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  22. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  23. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society.
  24. Bauwens, L. & Galli, F., 2009. "Efficient importance sampling for ML estimation of SCD models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1974-1992, April.
  25. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
  26. M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
  27. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
  28. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  29. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  30. Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
  31. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  32. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  33. 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.
  34. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR).
  35. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  36. Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009. "Estimating stochastic volatility models using daily returns and realized volatility simultaneously," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2404-2426, April.
  37. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
  38. Schröder, Michael & Lüders, Erik, 2004. "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19 [rev.], ZEW - Leibniz Centre for European Economic Research.
  39. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
  40. Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
  41. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
  42. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
  43. Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
  44. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
  45. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  46. Motta, Anderson C. O. & Hotta, Luiz K., 2003. "Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
  47. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  48. Javier De Peña & Luis A. Gil-Alana, 2002. "Do Spanish Stock Market Prices Follow a Random Walk?," Faculty Working Papers 01/02, School of Economics and Business Administration, University of Navarra.
  49. 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.
  50. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, University Library of Munich, Germany.
  51. Kim, Jeong-Hoon & Yoon, Ji-Hun & Lee, Jungwoo & Choi, Sun-Yong, 2015. "On the stochastic elasticity of variance diffusions," Economic Modelling, Elsevier, vol. 51(C), pages 263-268.
  52. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
  53. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
  54. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
  55. PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  56. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
  57. Eric Jacquier & Nicholas G. Polson & Peter Rossi, "undated". "Stochastic Volatility: Univariate and Multivariate Extensions," Rodney L. White Center for Financial Research Working Papers 19-95, Wharton School Rodney L. White Center for Financial Research.
  58. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
  59. Kanatani, Taro, 2004. "Iterative method for exponentially weighted rolling regression," Finance Research Letters, Elsevier, vol. 1(3), pages 196-201, September.
  60. Chow, Ying-Foon & Lam, James T.K. & Yeung, Hinson S., 2009. "Realized volatility of index constituent stocks in Hong Kong," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2809-2818.
  61. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, September.
  62. Shinichi Aihara, 2000. "Estimation of stochastic volatility in the Hull-White model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 153-181.
  63. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
  64. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, vol. 160(1), pages 2-11, January.
  65. Bollerslev, Tim & Ole Mikkelsen, Hans, 1999. "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, vol. 92(1), pages 75-99, September.
  66. Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  67. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
  68. 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.
  69. Heather M. Anderson & Farshid Vahid, 2013. "Common non-linearities in multiple series of stock market volatility," Monash Econometrics and Business Statistics Working Papers 1/13, Monash University, Department of Econometrics and Business Statistics.
  70. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  71. 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.
  72. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
  73. Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
  74. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  75. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario, December.
  76. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
  77. 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.
  78. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
  79. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  80. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
  81. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
  82. Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers 2008-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  83. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
  84. Mr. Gene L. Leon & Mr. Rupert D Worrell, 2001. "Price Volatility and Financial Instability," IMF Working Papers 2001/060, International Monetary Fund.
  85. Philip Arestis & Kostas Mouratidis, 2004. "Is There a Trade‐Off Between Inflation Variability and Output‐Gap Variability in the EMU Countries?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(5), pages 691-706, November.
  86. Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
  87. 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.
  88. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  89. German Rodikov & Nino Antulov-Fantulin, 2022. "Can LSTM outperform volatility-econometric models?," Papers 2202.11581, arXiv.org.
  90. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
  91. 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.
  92. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
  93. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  94. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  95. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
  96. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  97. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
  98. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
  99. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  100. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.
  101. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
  102. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
  103. Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe, 2007. "Asymptotics for duration-driven long range dependent processes," Journal of Econometrics, Elsevier, vol. 141(2), pages 913-949, December.
  104. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  105. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
  106. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
  107. Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
  108. repec:ebl:ecbull:v:3:y:2006:i:15:p:1-14 is not listed on IDEAS
  109. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
  110. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
  111. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
  112. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  113. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  114. Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013. "News impact curve for stochastic volatility models," Economics Letters, Elsevier, vol. 120(1), pages 130-134.
  115. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  116. Dias, Fabio S. & Peters, Gareth W., 2021. "Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence," Applied Mathematics and Computation, Elsevier, vol. 411(C).
  117. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
  118. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  119. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  120. Hassanniakalager, Arman & Baker, Paul L. & Platanakis, Emmanouil, 2024. "A False Discovery Rate approach to optimal volatility forecasting model selection," International Journal of Forecasting, Elsevier, vol. 40(3), pages 881-902.
  121. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.
  122. Siem Jan Koopman & Neil Shephard, 2002. "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford.
  123. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  124. Renner, Ch. & Peinke, J. & Friedrich, R., 2001. "Evidence of Markov properties of high frequency exchange rate data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 298(3), pages 499-520.
  125. Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
  126. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
  127. Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
  128. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
  129. Bengt Holmström & Jean Tirole, 2001. "LAPM: A Liquidity‐Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
  130. Celeux, Gilles & Marin, Jean-Michel & Robert, Christian P., 2006. "Iterated importance sampling in missing data problems," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3386-3404, August.
  131. Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
  132. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, vol. 130(1), pages 1-23, January.
  133. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  134. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
  135. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2006. "Analysis of high dimensional multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 134(2), pages 341-371, October.
  136. Jeong‐Hoon Kim & Jungwoo Lee & Song‐Ping Zhu & Seok‐Hyon Yu, 2014. "A multiscale correction to the Black–Scholes formula," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(6), pages 753-765, November.
  137. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
  138. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  139. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
  140. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1995. "Models and Priors for Multivariate Stochastic Volatility," CIRANO Working Papers 95s-18, CIRANO.
  141. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
  142. Geweke, John & Tanizaki, Hisashi, 2001. "Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 151-170, August.
  143. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
  144. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  145. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
  146. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  147. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  148. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April.
  149. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  150. Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  151. Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
  152. Neil Shephard & Thomas Flury, 2009. "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers 469, University of Oxford, Department of Economics.
  153. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
  154. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005. "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper 1187, Economics Department, Queen's University.
  155. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
  156. Ole E. Barndorff‐Nielsen & Neil Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
  157. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  158. Solomon Abayomi Olakojo, 2020. "A Markov‐switching analysis of Nigeria's business cycles: Are election cycles important?," African Development Review, African Development Bank, vol. 32(1), pages 67-79, March.
  159. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  160. Thomas Mikosch, 2004. "Is it really long memory we see in financial returns?," Econometrics 0412002, University Library of Munich, Germany.
  161. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
  162. Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
  163. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
  164. Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012. "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, June.
  165. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-14.
  166. Reno, Roberto, 2006. "Nonparametric estimation of stochastic volatility models," Economics Letters, Elsevier, vol. 90(3), pages 390-395, March.
  167. repec:hum:wpaper:sfb649dp2008-063 is not listed on IDEAS
  168. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  169. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
  170. Ozturk, Serda Selin & Richard, Jean-Francois, 2015. "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, vol. 12(C), pages 67-76.
  171. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  172. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
  173. Imma Valentina Curato, 2013. "Fourier estimation of stochastic leverage using high frequency data," Working Papers - Mathematical Economics 2013-04, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  174. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  175. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  176. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  177. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
  178. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
  179. Hisashi Tanizaki, 2001. "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 63-81, March.
  180. Adam Clements & Scott White, 2005. "Non-linear filtering with state dependant transition probabilities: A threshold (size effect) SV model," School of Economics and Finance Discussion Papers and Working Papers Series 191, School of Economics and Finance, Queensland University of Technology.
  181. Lee Kai Ming & Koopman Siem Jan, 2004. "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-17, May.
  182. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
  183. Kian Teng Kwek & Kuan Nee Koay, 2006. "Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 307-323.
  184. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
  185. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
  186. Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December.
  187. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  188. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
  189. Linden, Mikael, 2005. "Estimating the distribution of volatility of realized stock returns and exchange rate changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 352(2), pages 573-583.
  190. Michael Weba, 2024. "Investment strategies based on forecasts are (almost) useless," Papers 2408.01772, arXiv.org.
  191. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
  192. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
  193. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.
  194. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  195. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  196. Benjamin Poignard & Manabu Asai, 2023. "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
  197. Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
  198. Neil Shephard & Ole Barndorff-Nielsen, 2003. "A feasible central limit theory for realised volatility under leverage," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics.
  199. Thomakos, Dimitrios D. & Wang, Tao & Wille, Luc T., 2002. "Modeling daily realized futures volatility with singular spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 505-519.
  200. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
  201. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
  202. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
  203. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  204. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics and Public Policy Working Papers 2000-05, University of Adelaide, School of Economics and Public Policy.
  205. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  206. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  207. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(05), pages 933-956, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.