57
H index
86
i10 index
25042
Citations
Duke University (98% share) | 57 H index 86 i10 index 25042 Citations RESEARCH PRODUCTION: 86 Articles 100 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Tim Bollerslev. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08. Full description at Econpapers || Download paper | |
2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
2020 | To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13. Full description at Econpapers || Download paper | |
2021 | A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2020 | Emerging Markets and Volatility Spillover Effects: Empirical Evidence from Regional Emerging Economies of Pakistan, China, India, and Bangladesh. (2020). Saeed, Muhammad Yasir ; Ghafoor, Muhammad Mudasar ; Hamid, Kashif. In: Global Economics Review. RePEc:aaw:journl:v:5:y:2020:i:1:p:102-116. Full description at Econpapers || Download paper | |
2020 | Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020. Full description at Econpapers || Download paper | |
2020 | Predicting the volatility in stock return of emerging economy: An empirical approach. (2020). Yadav, Miklesh Prasad ; Khera, Aastha. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:233-244. Full description at Econpapers || Download paper | |
2020 | Financial stress index, growth and price stability in India: Some recent evidence. (2020). Sahoo, Jayantee. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:105-124. Full description at Econpapers || Download paper | |
2020 | Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223. Full description at Econpapers || Download paper | |
2021 | 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 | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890. Full description at Econpapers || Download paper | |
2020 | LASSO-Driven Inference in Time and Space. (2019). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen ; Hardle, Wolfgang K. In: Papers. RePEc:arx:papers:1806.05081. Full description at Econpapers || Download paper | |
2020 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2020 | DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668. Full description at Econpapers || Download paper | |
2020 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
2020 | Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024. Full description at Econpapers || Download paper | |
2020 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper | |
2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660. Full description at Econpapers || Download paper | |
2020 | Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960. Full description at Econpapers || Download paper | |
2020 | Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448. Full description at Econpapers || Download paper | |
2020 | Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416. Full description at Econpapers || Download paper | |
2020 | Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116. Full description at Econpapers || Download paper | |
2020 | Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518. Full description at Econpapers || Download paper | |
2020 | Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248. Full description at Econpapers || Download paper | |
2020 | A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374. Full description at Econpapers || Download paper | |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper | |
2020 | Risk Fluctuation Characteristics of Internet Finance: Combining Industry Characteristics with Ecological Value. (2020). Shuai, Hefan ; Xiao, Yadong ; Marshall, Tom ; Ye, Nan ; Mi, Chuanmin ; Xu, Runjie. In: Papers. RePEc:arx:papers:2001.09798. Full description at Econpapers || Download paper | |
2020 | An internal fraud model for operational losses in retail banking. (2020). Vega, Marco ; Paredes, Roc'Io. In: Papers. RePEc:arx:papers:2002.03235. Full description at Econpapers || Download paper | |
2020 | Gaussian process imputation of multiple financial series. (2020). Tobar, Felipe ; Cuevas, Alejandro ; de Wolff, Taco. In: Papers. RePEc:arx:papers:2002.05789. Full description at Econpapers || Download paper | |
2020 | TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243. Full description at Econpapers || Download paper | |
2020 | Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405. Full description at Econpapers || Download paper | |
2020 | Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975. Full description at Econpapers || Download paper | |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper | |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
2020 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2020 | Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2020 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2020 | Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2021 | An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870. Full description at Econpapers || Download paper | |
2020 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
2020 | Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Defining an intrinsic stickiness parameter of stock price returns. (2020). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:2005.02351. Full description at Econpapers || Download paper | |
2020 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2020 | Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868. Full description at Econpapers || Download paper | |
2020 | Using Machine Learning to Forecast Future Earnings. (2020). Zhou, Yue ; Xu, Zhaoyu ; Cui, Xinyue. In: Papers. RePEc:arx:papers:2005.13995. Full description at Econpapers || Download paper | |
2020 | The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158. Full description at Econpapers || Download paper | |
2021 | An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077. Full description at Econpapers || Download paper | |
2020 | Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669. Full description at Econpapers || Download paper | |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
2021 | Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611. Full description at Econpapers || Download paper | |
2020 | Investment Disputes and Abnormal Volatility of Stocks. (2020). BarunÃÂk, Jozef ; Drabek, Zdenek ; Nevrla, Matej. In: Papers. RePEc:arx:papers:2006.10505. Full description at Econpapers || Download paper | |
2020 | Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088. Full description at Econpapers || Download paper | |
2020 | Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039. Full description at Econpapers || Download paper | |
2020 | Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Kasparis, Ioannis ; Hu, Zhishui ; Wang, Qiying. In: Papers. RePEc:arx:papers:2006.12595. Full description at Econpapers || Download paper | |
2020 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383. Full description at Econpapers || Download paper | |
2020 | Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407. Full description at Econpapers || Download paper | |
2020 | A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262. Full description at Econpapers || Download paper | |
2020 | Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207. Full description at Econpapers || Download paper | |
2020 | Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043. Full description at Econpapers || Download paper | |
2020 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
2020 | Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147. Full description at Econpapers || Download paper | |
2020 | An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130. Full description at Econpapers || Download paper | |
2020 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2020 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2020 | Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508. Full description at Econpapers || Download paper | |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper | |
2020 | Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770. Full description at Econpapers || Download paper | |
2020 | Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392. Full description at Econpapers || Download paper | |
2020 | The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972. Full description at Econpapers || Download paper | |
2020 | A first econometric analysis of the CRIX family. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Papers. RePEc:arx:papers:2009.12129. Full description at Econpapers || Download paper | |
2020 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2020 | Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561. Full description at Econpapers || Download paper | |
2020 | Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315. Full description at Econpapers || Download paper | |
2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2020 | A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402. Full description at Econpapers || Download paper | |
2020 | Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659. Full description at Econpapers || Download paper | |
2020 | Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113. Full description at Econpapers || Download paper | |
2020 | Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263. Full description at Econpapers || Download paper | |
2020 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2020 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2020 | Derivatives Pricing in Non-Arbitrage Market. (2020). Gonchar, N S. In: Papers. RePEc:arx:papers:2010.13630. Full description at Econpapers || Download paper | |
2020 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
2020 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2020 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper | |
2020 | Autoregressive models of the time series under volatility uncertainty and application to VaR model. (2020). Yang, Shuzhen ; Peng, Shige. In: Papers. RePEc:arx:papers:2011.09226. Full description at Econpapers || Download paper | |
2020 | On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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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 | 65 |
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: 65 | article | |
2007 | Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 45 |
2010 | Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | article | |
2007 | Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 152 |
2011 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 152 | article | |
2004 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 152 | paper | |
2005 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 152 | article | |
2007 | Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 494 |
2008 | Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 494 | paper | |
2006 | Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 494 | paper | |
2009 | Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 494 | 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 | 583 |
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: 583 | 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: 583 | article | |
2007 | Risk, Jumps, and Diversification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 92 |
2008 | Risk, jumps, and diversification.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 376 |
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: 376 | 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: 376 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 90 |
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: 90 | article | |
2008 | Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2007 | A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 88 |
2010 | A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2009 | A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | article | |
2008 | Glossary to ARCH (GARCH) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 40 |
2009 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
2010 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2009 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2011 | Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2009 | Tails, Fears and Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 187 |
2011 | Tails, Fears, and Risk Premia.(2011) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 187 | article | |
2010 | Tails, Fears and Risk Premia.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 187 | paper | |
2010 | Estimation of Jump Tails In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
2010 | Estimation of Jump Tails.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2011 | Estimation of Jump Tails.(2011) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2010 | Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 36 |
2013 | Jump tails, extreme dependencies, and the distribution of stock returns.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
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: 21 | 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: 21 | 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: 21 | paper | |
2011 | Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2015 | Stock return and cash flow predictability: The role of volatility risk.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2014 | Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2014 | Tail Risk Premia and Return Predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 62 |
2015 | Tail risk premia and return predictability.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
2015 | Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 17 |
2013 | Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2016 | Daily House Price Indices: Construction, Modeling, and Longerâ€run Predictions.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2015 | Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 84 |
2016 | Exploiting the errors: A simple approach for improved volatility forecasting.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2018 | Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2016 | Volume, Volatility and Public News Announcements In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
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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: 614 | 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: 614 | 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: 614 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 61 |
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: 61 | 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: 61 | 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: 61 | paper | |
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1994 | Periodic Autoregressive Conditional Heteroskedasticity..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
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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: 237 | paper | |
2001 | Varianceâ€ratio Statistics and Highâ€frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 28 |
1988 | ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
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2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 91 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 91 | 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 | |
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2018 | Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2014 | Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 108 |
2011 | Stock return predictability and variance risk premia: statistical inference and international evidence.(2011) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
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2003 | Modeling and Forecasting Realized Volatility.(2003) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 1458 | article | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1458 | 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: 1458 | paper | |
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2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 140 |
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2001 | Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | paper | |
2004 | Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2006 | Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 90 |
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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: 117 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 76 |
2014 | Time-varying jump tails In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
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1986 | Generalized autoregressive conditional heteroskedasticity.(1986) In: EERI Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6663 | paper | |
1992 | ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1411 |
1992 | Prediction in dynamic models with time-dependent conditional variances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 87 |
1990 | PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES..(1990) In: Michigan State - Econometrics and Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 87 | paper | |
1996 | Modeling and pricing long memory in stock market volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 566 |
1996 | Fractionally integrated generalized autoregressive conditional heteroskedasticity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 952 |
1999 | Long-term equity anticipation securities and stock market volatility dynamics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
2000 | Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 62 |
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1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 496 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 114 |
1994 | Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics. [Full Text][Citation analysis] | article | 86 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 90 |
2013 | Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 57 |
2016 | Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 22 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 787 |
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1991 | Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1991 | Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange.(1991) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1994 | The long memory of the forward premium In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 129 |
1993 | The Long Memory of the Foreward Premium..(1993) In: Michigan State - Econometrics and Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
2000 | The forward premium anomaly is not as bad as you think In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 178 |
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1999 | High frequency data, frequency domain inference and volatility forecasting In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 43 |
2001 | High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting.(2001) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
2005 | Stock returns and volatility: pricing the long-run and short-run components of market risk In: Proceedings. [Full Text][Citation analysis] | article | 2 |
1988 | FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 0 |
1989 | INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 142 |
1991 | Intra-Day and Inter-Market Volatility in Foreign Exchange Rates.(1991) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | article | |
1991 | Bear Squeezes in the Hyperinflation 1920s Foreign Exchange. In: Michigan State - Econometrics and Economic Theory. [Citation analysis] | paper | 0 |
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 | 76 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 76 | 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: 76 | 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 | 79 |
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: 79 | 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: 79 | 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: 79 | 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 | 35 |
1991 | Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange. In: Tilburg - Center for Economic Research. [Citation analysis] | paper | 0 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 1126 |
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1988 | Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances In: Working papers. [Citation analysis] | paper | 105 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 20 |
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: 20 | 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: 20 | 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: 20 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 49 |
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: 49 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | 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 | |
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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 | 8 |
1998 | Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 33 |
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: 33 | paper | |
2006 | Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 163 |
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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 |
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