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Citations for "Estimating quadratic variation using realized variance"

by Ole E. Barndorff-Nielsen & Neil Shephard

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  1. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
  2. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-33.
  3. Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
  4. Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
  5. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
  6. Carla Ysusi & Bent Nielsen, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Series Working Papers 2002-W21, University of Oxford, Department of Economics.
  7. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
  8. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 34-45.
  9. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
  10. Kamiar Mohaddes & M. Hashem Pesaran, 2013. "One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?," CESifo Working Paper Series 4118, CESifo Group Munich.
  11. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  12. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
  13. Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S205-S224.
  14. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
  15. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Accuracy of Integrated Volatility Estimators," Working Papers 1225, Queen's University, Department of Economics.
  16. Mapa, Dennis S., 2003. "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper 21323, University Library of Munich, Germany.
  17. I‐Ming Jiang & Jui‐Cheng Hung & Chuan‐San Wang, 2014. "Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(11), pages 1077-1094, November.
  18. Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
  19. Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(3), pages 311, August.
  20. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
  21. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers 1186, Queen's University, Department of Economics.
  22. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  23. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
  24. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
  25. Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers 55, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  26. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  27. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  28. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
  29. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  30. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
  31. repec:ebl:ecbull:eb-14-00886 is not listed on IDEAS
  32. John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper Series 19_09, The Rimini Centre for Economic Analysis.
  33. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, Department of Economics and Business Economics, Aarhus University.
  34. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
  35. Neil Shephard & Ole E. Barndorff-Nielsen, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics.
  36. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics.
  37. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011. "Jumps, cojumps and macro announcements," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, 09.
  38. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  39. Ceylan, Ozcan, 2010. "Limited Information-Processing Capacity and Asymmetric Stock Correlations," MPRA Paper 61587, University Library of Munich, Germany.
  40. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
  41. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  42. Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015. "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, 04.
  43. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  44. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  45. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  46. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  47. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
  48. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  49. Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  50. Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
  51. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW).
  52. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  53. Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics 2010-520, Australian National University, College of Business and Economics, School of Economics.
  54. Nima Nonejad, 2013. "Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach," CREATES Research Papers 2013-26, Department of Economics and Business Economics, Aarhus University.
  55. 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.
  56. Marine Carrasco & Rachidi Kotchoni, 2013. "Adaptive Realized Kernels," Working Papers hal-00867967, HAL.
  57. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 10-22.
  58. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  59. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
  60. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, Department of Economics and Business Economics, Aarhus University.
  61. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
  62. repec:pse:psecon:2007-11 is not listed on IDEAS
  63. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
  64. Ehsan Azmoodeh & Esko Valkeila, 2013. "Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 97-112, July.
  65. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 86257, Inter-American Development Bank.
  66. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
  67. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, Department of Economics and Business Economics, Aarhus University.
  68. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
  69. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
  70. Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
  71. Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics 1405, School of Economics, University of Kent.
  72. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss," Resources Policy, Elsevier, vol. 47(C), pages 95-107.
  73. Markopoulou, Chrysi E. & Skintzi, Vasiliki D. & Refenes, Apostolos-Paul N., 2016. "Realized hedge ratio: Predictability and hedging performance," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 121-133.
  74. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
  75. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  76. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March.
  77. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
  78. Elezovic, Suad, 2009. "Functional modelling of volatility in the Swedish limit order book," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2107-2118, April.
  79. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  80. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
  81. repec:lan:wpaper:592830 is not listed on IDEAS
  82. repec:wyi:journl:002161 is not listed on IDEAS
  83. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
  84. Douglas G. Santos & Flavio A. Ziegelmann, 2014. "Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 284-299, 07.
  85. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  86. repec:hal:wpaper:halshs-00588307 is not listed on IDEAS
  87. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
  88. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
  89. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  90. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
  91. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2015. "Is volatility clustering of asset returns asymmetric?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 62-76.
  92. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
  93. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
  94. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," CORE Discussion Papers 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  95. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007 2007-02, Department of Economics, University of St. Gallen.
  96. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
  97. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  98. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
  99. Galbraith, John W. & KI[#x1e63]Inbay, Turgut, 2005. "Content horizons for conditional variance forecasts," International Journal of Forecasting, Elsevier, vol. 21(2), pages 249-260.
  100. Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
  101. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
  102. Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
  103. Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
  104. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
  105. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
  106. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
  107. Prateek Sharma & Swati Sharma, 2015. "Forecasting gains of robust realized variance estimators: evidence from European stock markets," Economics Bulletin, AccessEcon, vol. 35(1), pages 61-69.
  108. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
  109. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
  110. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  111. repec:kap:iaecre:v:14:y:2008:i:1:p:112-124 is not listed on IDEAS
  112. Mapa, Dennis S., 2004. "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper 21028, University Library of Munich, Germany.
  113. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
  114. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  115. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  116. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
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