34
H index
47
i10 index
8398
Citations
National Bureau of Economic Research (NBER) (50% share) | 34 H index 47 i10 index 8398 Citations RESEARCH PRODUCTION: 50 Articles 93 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Torben G. Andersen. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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CFS Working Paper Series / Center for Financial Studies (CFS) | 7 |
Working Paper Series / Federal Reserve Bank of Chicago | 3 |
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.) | 2 |
Year | Title of citing document | |
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2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
2017 | A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15. Full description at Econpapers || Download paper | |
2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
2017 | Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30. Full description at Econpapers || Download paper | |
2017 | Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34. Full description at Econpapers || Download paper | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
2018 | The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19. Full description at Econpapers || Download paper | |
2018 | The drift burst hypothesis. (2018). Christensen, Kim ; Reno, Roberto ; Oomen, Roel. In: CREATES Research Papers. RePEc:aah:create:2018-21. Full description at Econpapers || Download paper | |
2018 | Realizing Correlations Across Asset Classes. (2018). Gronborg, Niels S ; Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2018-37. Full description at Econpapers || Download paper | |
2017 | Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390. Full description at Econpapers || Download paper | |
2017 | Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208. Full description at Econpapers || Download paper | |
2017 | Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172. Full description at Econpapers || Download paper | |
2018 | Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92. Full description at Econpapers || Download paper | |
2018 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper | |
2017 | Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731. Full description at Econpapers || Download paper | |
2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
2017 | Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
2017 | Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339. Full description at Econpapers || Download paper | |
2017 | Systematic Noise: Micro-movements in Equity Options Markets. (2017). Wu, Adam . In: Papers. RePEc:arx:papers:1708.06855. Full description at Econpapers || Download paper | |
2018 | VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Papers. RePEc:arx:papers:1708.06886. Full description at Econpapers || Download paper | |
2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
2018 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2018 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502. Full description at Econpapers || Download paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2019 | Forecasting dynamic return distributions based on ordered binary choice. (2019). BarunÃk, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681. Full description at Econpapers || Download paper | |
2018 | A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504. Full description at Econpapers || Download paper | |
2017 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
2018 | A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138. Full description at Econpapers || Download paper | |
2017 | On Long Memory Origins and Forecast Horizons. (2017). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1712.08057. Full description at Econpapers || Download paper | |
2018 | Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Mendonca, Keegan ; Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E. In: Papers. RePEc:arx:papers:1803.03364. Full description at Econpapers || Download paper | |
2018 | Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996. Full description at Econpapers || Download paper | |
2018 | Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892. Full description at Econpapers || Download paper | |
2018 | Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Sirignano, Justin ; Cont, Rama. In: Papers. RePEc:arx:papers:1803.06917. Full description at Econpapers || Download paper | |
2018 | Exploring the predictability of range-based volatility estimators using RNNs. (2018). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1803.07152. Full description at Econpapers || Download paper | |
2018 | Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721. Full description at Econpapers || Download paper | |
2018 | Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; BarunÃk, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980. Full description at Econpapers || Download paper | |
2018 | Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market. (2018). Kim, Wonse ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1805.04728. Full description at Econpapers || Download paper | |
2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2018 | Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). BarunÃk, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823. Full description at Econpapers || Download paper | |
2018 | Tail probabilities for short-term returns on stocks. (2018). Rasmussen, Henrik O ; Wilmott, Paul. In: Papers. RePEc:arx:papers:1809.08416. Full description at Econpapers || Download paper | |
2018 | Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928. Full description at Econpapers || Download paper | |
2018 | Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200. Full description at Econpapers || Download paper | |
2018 | Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Zhang, Qiang ; Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui. In: Papers. RePEc:arx:papers:1811.03711. Full description at Econpapers || Download paper | |
2018 | How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820. Full description at Econpapers || Download paper | |
2018 | A new time-varying model for forecasting long-memory series. (2018). Bisaglia, Luisa ; Grigoletto, Matteo. In: Papers. RePEc:arx:papers:1812.07295. Full description at Econpapers || Download paper | |
2018 | Multimodal deep learning for short-term stock volatility prediction. (2018). Sardelich, Marcelo ; Manandhar, Suresh. In: Papers. RePEc:arx:papers:1812.10479. Full description at Econpapers || Download paper | |
2019 | Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Yang, Ben-Zhang ; Huang, Nan-Jing ; He, Xinjiang. In: Papers. RePEc:arx:papers:1901.00345. Full description at Econpapers || Download paper | |
2019 | Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419. Full description at Econpapers || Download paper | |
2019 | The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691. Full description at Econpapers || Download paper | |
2019 | Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024. Full description at Econpapers || Download paper | |
2017 | Oil Price Volatility and Fiscal Behaviour if Government in Nigeria. (2017). fasanya, Ismail ; Aregbeyen, Omo . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:118-134. Full description at Econpapers || Download paper | |
2017 | On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636. Full description at Econpapers || Download paper | |
2018 | ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655. Full description at Econpapers || Download paper | |
2017 | The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber. Full description at Econpapers || Download paper | |
2018 | Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803. Full description at Econpapers || Download paper | |
2017 | Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55. Full description at Econpapers || Download paper | |
2017 | Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455. Full description at Econpapers || Download paper | |
2017 | Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466. Full description at Econpapers || Download paper | |
2017 | Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617. Full description at Econpapers || Download paper | |
2018 | Non-monetary news in central bank communication. (2018). Cieslak, Anna ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:761. Full description at Econpapers || Download paper | |
2017 | How return and risk experiences shape investor beliefs and preferences. (2017). , Arvid ; Smith, Tom ; Post, Thomas. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:759-788. Full description at Econpapers || Download paper | |
2017 | Normality of stock returns with event time clocks. (2017). Ling, Xin . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:277-298. Full description at Econpapers || Download paper | |
2018 | A state‐price volatility index for the U.S. government bond market. (2018). Pan, Zheyao. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:573-597. Full description at Econpapers || Download paper | |
2019 | Surprise and dispersion: informational impact of USDA announcements. (2019). Frijns, Bart ; TouraniRad, Alireza ; Indriawan, Ivan ; FernandezPerez, Adrian . In: Agricultural Economics. RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126. Full description at Econpapers || Download paper | |
2018 | TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250. Full description at Econpapers || Download paper | |
2018 | DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE. (2018). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Khademalomoom, Siroos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:547-561. Full description at Econpapers || Download paper | |
2018 | DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760. Full description at Econpapers || Download paper | |
2017 | Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19. Full description at Econpapers || Download paper | |
2018 | The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence. (2018). Wilhelmsson, Anders ; Vilhelmsson, Anders ; Jankensgrd, Hkan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:55-79. Full description at Econpapers || Download paper | |
2018 | Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236. Full description at Econpapers || Download paper | |
2017 | A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490. Full description at Econpapers || Download paper | |
2018 | WILL THE “TRUE” LABOR SHARE STAND UP? AN APPLIED SURVEY ON LABOR SHARE MEASURES. (2018). Mućk, Jakub ; McAdam, Peter ; Growiec, Jakub ; Muk, Jakub. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:961-984. Full description at Econpapers || Download paper | |
2017 | A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605. Full description at Econpapers || Download paper | |
2017 | Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790. Full description at Econpapers || Download paper | |
2017 | Earnings Growth and Movements in Self‐Reported Health. (2017). Addison, Tony ; Halliday, Timothy J ; Tarp, Finn ; Pirttila, Yukka. In: Review of Income and Wealth. RePEc:bla:revinw:v:63:y:2017:i:4:p:760-776. Full description at Econpapers || Download paper | |
2017 | Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429. Full description at Econpapers || Download paper | |
2018 | Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data. (2018). Farrell, Greg ; Rossouw, Jannie ; May, Cyril. In: South African Journal of Economics. RePEc:bla:sajeco:v:86:y:2018:i:3:p:308-338. Full description at Econpapers || Download paper | |
2018 | Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952. Full description at Econpapers || Download paper | |
2017 | Borderline: judging the adequacy of return distribution estimation techniques in initial margin models. (2017). Murphy, David ; Houllier, Melanie . In: Bank of England working papers. RePEc:boe:boeewp:0673. Full description at Econpapers || Download paper | |
2017 | The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Crowley-Reidy, Liam ; Tobek, Ondrej ; Pedace, Lucas ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0687. Full description at Econpapers || Download paper | |
2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
2018 | High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120. Full description at Econpapers || Download paper | |
2017 | Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. Full description at Econpapers || Download paper | |
2018 | Measuring and trading volatility on the US stock market: A regime switching approach. (2018). Dapena, Jose ; Siri, Julian R ; Serur, Juan A. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:659. Full description at Econpapers || Download paper | |
2018 | Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7066. Full description at Econpapers || Download paper | |
2018 | Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. (2018). Gürkaynak, Refet ; Wright, Jonathan H ; Kisacikolu, Burin ; Gurkaynak, Refet S. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7229. Full description at Econpapers || Download paper | |
2018 | Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis. (2018). Kočenda, Evžen ; Moravcova, Michala. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7239. Full description at Econpapers || Download paper | |
2018 | The Impact of Business and Political News on the GCC Stock Markets. (2018). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Al-Maadid, Alanoud. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7353. Full description at Econpapers || Download paper | |
2018 | Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Agudelo, Diego ; Gencay, Ramazan ; Yepes-Henao, Paula A. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016974. Full description at Econpapers || Download paper | |
2017 | Balance comercial y volatilidad del tipo de cambio nominal: Un estudio de series de tiempo para Colombia. (2017). Clavijo, Pedro Hugo. In: REVISTA ECONOMÍA & REGIÓN. RePEc:col:000411:015716. Full description at Econpapers || Download paper | |
2017 | Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland. (2017). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:161-176. Full description at Econpapers || Download paper | |
2018 | Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687. Full description at Econpapers || Download paper | |
2018 | Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 52 |
2011 | A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 451 |
2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 451 | paper | |
2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 451 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 318 |
2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 318 | article | |
2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 318 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 75 |
2010 | Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | article | |
2008 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
2007 | Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
2007 | Construction and Interpretation of Model-Free Implied Volatility.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2007 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 43 |
2010 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
2006 | Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2007 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2009 | Realized Volatility and Multipower Variation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 131 |
2012 | Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | article | |
2010 | Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | paper | |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | paper | |
2010 | Stochastic Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 53 |
2009 | Stochastic volatility.(2009) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | VPIN and the Flash Crash In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2014 | VPIN and the flash crash.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
2012 | Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2015 | Parametric Inference and Dynamic State Recovery From Option Panels.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2013 | Reflecting on the VPIN Dispute In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2014 | Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2013 | Assessing Measures of Order Flow Toxicity via Perfect Trade Classification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2015 | The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2014 | The Risk Premia Embedded in Index Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 17 |
2018 | The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2015 | The risk premia embedded in index options.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
0000 | The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
0000 | Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
0000 | Option Panels in Pure-Jump Settings In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Short-Term Market Risks Implied by Weekly Options.(2017) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 556 |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 556 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 556 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 556 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 54 |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2005 | A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2008 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: Queen's Economics Department Working Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 714 |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
1996 | GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 140 |
1995 | GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.(1995) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 140 | paper | |
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.() In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] This paper has another version. Agregated cites: 140 | paper | ||
2000 | Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 14 |
2005 | Editors Report 2004 In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2006 | Editor Report 2005.(2006) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2007 | Editorial Announcement In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2007 | Editors Report 2006 In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 2 |
2006 | Editor Report 2005.(2006) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
1996 | Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. In: Journal of Finance. [Full Text][Citation analysis] | article | 260 |
1997 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 203 |
1996 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 203 | paper | |
1998 | Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance. [Full Text][Citation analysis] | article | 295 |
2001 | Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 23 |
2002 | An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance. [Full Text][Citation analysis] | article | 246 |
2001 | An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 246 | paper | |
1998 | Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 0 |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 95 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | article | |
2002 | Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
2002 | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2002 | CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2000 | SIMULATION-BASED ECONOMETRIC METHODS In: Econometric Theory. [Full Text][Citation analysis] | article | 10 |
2014 | A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory. [Full Text][Citation analysis] | article | 9 |
2013 | A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2003 | Modeling and Forecasting Realized Volatility In: Econometrica. [Full Text][Citation analysis] | article | 1222 |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1222 | paper | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1222 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 108 |
2004 | Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 1 |
2006 | Volatility and Correlation Forecasting In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 111 |
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 In: Journal of Econometrics. [Full Text][Citation analysis] | article | 86 |
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.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 59 |
1997 | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
1997 | Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics. [Full Text][Citation analysis] | article | 188 |
1999 | Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 87 |
1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 441 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 100 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 70 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 654 |
2008 | Realized volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 33 |
1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 77 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 68 |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | article | |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | paper | |
1999 | (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 24 |
2009 | Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 3 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 878 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 19 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 47 |
2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 37 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 93 |
2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | paper | |
2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | paper | |
2015 | The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2004 | Discussion In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2015 | Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence In: Review of Finance. [Full Text][Citation analysis] | article | 4 |
2015 | Exploring Return Dynamics via Corridor Implied Volatility In: Review of Financial Studies. [Full Text][Citation analysis] | article | 9 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 28 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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