40
H index
59
i10 index
13138
Citations
National Bureau of Economic Research (NBER) (50% share) | 40 H index 59 i10 index 13138 Citations RESEARCH PRODUCTION: 62 Articles 99 Papers 4 Chapters RESEARCH ACTIVITY: 29 years (1994 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pan210 |
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: |
Year | Title of citing document | |
---|---|---|
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2023 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | Detecting Rough Volatility: A Filtering Approach. (2023). Frey, Rudiger ; Damian, Camilla. In: Papers. RePEc:arx:papers:2302.12612. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper | |
2023 | Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371. Full description at Econpapers || Download paper | |
2023 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2023 | Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012. Full description at Econpapers || Download paper | |
2023 | VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Closed-form approximations of moments and densities of continuous-time Markov models. (2023). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Papers. RePEc:arx:papers:2308.09009. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235. Full description at Econpapers || Download paper | |
2023 | iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943. Full description at Econpapers || Download paper | |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper | |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper | |
2023 | Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data. (2023). Liu, Yujiang ; Zhang, Xulong ; Leng, Wan ; Zhou, Lichun ; Tang, Lihua ; Jiang, Guilin ; Gui, Zhaozhong. In: Papers. RePEc:arx:papers:2309.16196. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation. (2023). Tanaka-Ishii, Kumiko ; Moriyama, Kai ; Du, Xin. In: Papers. RePEc:arx:papers:2310.14536. Full description at Econpapers || Download paper | |
2023 | Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992. Full description at Econpapers || Download paper | |
2023 | Data-Driven Fixed-Point Tuning for Truncated Realized Variations. (2023). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Han, Yuchen. In: Papers. RePEc:arx:papers:2311.00905. Full description at Econpapers || Download paper | |
2023 | Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2023). Naef, Alain. In: Working papers. RePEc:bfr:banfra:911. Full description at Econpapers || Download paper | |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. (2023). Olmo, Jose. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:3:p:294-318. Full description at Econpapers || Download paper | |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper | |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper | |
2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
2023 | Intervening against the Fed. (2023). Yago, N ; Timmer, Y ; Rodnyansky, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2357. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper | |
2023 | Interest Rate Surprises: A Tale of Two Shocks. (2023). Nunes, Ricardo ; Tang, Jenny ; Ozdagli, Ali. In: Discussion Papers. RePEc:cfm:wpaper:2320. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308. Full description at Econpapers || Download paper | |
2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Sensitivity analysis of volatility: a new tool for risk management. (2002). Manganelli, Simone ; Ceci, V. ; Vecchiato, W.. In: Working Paper Series. RePEc:ecb:ecbwps:20020194. Full description at Econpapers || Download paper | |
2023 | Information acquisition ahead of monetary policy announcements. (2023). Hubert, Paul ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20232770. Full description at Econpapers || Download paper | |
2023 | Oil Price Changes and Stock Market Performance in UAE: Evidence of Cointegration Persists in Economic Diversification era. (2023). Mohammed, Zahra ; Majumdar, Sudipa ; Banerjee, Rachna. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-58. Full description at Econpapers || Download paper | |
2023 | Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009. Full description at Econpapers || Download paper | |
2023 | A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022. Full description at Econpapers || Download paper | |
2023 | A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205. Full description at Econpapers || Download paper | |
2023 | Price fairness: Clean energy stocks and the overall market. (2023). Ahn, Kwangwon ; Yi, Eojin ; Park, Kwangyeol ; Choi, Gahyun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:168:y:2023:i:c:s0960077922012280. Full description at Econpapers || Download paper | |
2023 | Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China. (2023). Wang, YU ; Li, Ting ; Pei, Shan. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002158. Full description at Econpapers || Download paper | |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper | |
2023 | Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054. Full description at Econpapers || Download paper | |
2023 | Forecasting the realized volatility of Energy Stock Market: A multimodel comparison. (2023). Guo, Lili ; Su, Mengying ; Li, Junwen ; Hu, Jiayu ; Zhou, Deheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000189. Full description at Econpapers || Download paper | |
2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper | |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper | |
2023 | Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper | |
2023 | A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543. Full description at Econpapers || Download paper | |
2023 | Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270. Full description at Econpapers || Download paper | |
2023 | PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370. Full description at Econpapers || Download paper | |
2023 | Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81. Full description at Econpapers || Download paper | |
2023 | Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90. Full description at Econpapers || Download paper | |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper | |
2023 | ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171. Full description at Econpapers || Download paper | |
2023 | Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers || Download paper | |
2023 | Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954. Full description at Econpapers || Download paper | |
2023 | Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics. (2023). Rodrigues, Paulo ; Stoykov, Marian Z ; Nicolau, Joo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2266-2284. Full description at Econpapers || Download paper | |
2023 | GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483. Full description at Econpapers || Download paper | |
2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper | |
2023 | Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598. Full description at Econpapers || Download paper | |
2023 | We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616. Full description at Econpapers || Download paper | |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper | |
2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper | |
2023 | Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620. Full description at Econpapers || Download paper | |
2023 | Expectation dispersion, uncertainty, and the reaction to news. (2023). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000697. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
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 | 115 |
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 nother version. Agregated cites: 115 | 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 | 872 |
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 nother version. Agregated cites: 872 | 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 nother version. Agregated cites: 872 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 550 |
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 nother version. Agregated cites: 550 | 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 nother version. Agregated cites: 550 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 113 |
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 nother version. Agregated cites: 113 | 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 nother version. Agregated cites: 113 | paper | |
2007 | Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 59 |
2007 | Construction and Interpretation of Model-Free Implied Volatility.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | 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 | 65 |
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 nother version. Agregated cites: 65 | 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 nother version. Agregated cites: 65 | 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 nother version. Agregated cites: 65 | paper | |
2009 | Realized Volatility and Multipower Variation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 283 |
2012 | Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 283 | article | |
2010 | Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 283 | paper | |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 283 | paper | |
2010 | Stochastic Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 68 |
2009 | Stochastic volatility.(2009) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 54 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | VPIN and the Flash Crash In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 37 |
2014 | VPIN and the flash crash.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
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 nother version. Agregated cites: 33 | paper | |
2012 | Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2015 | Parametric Inference and Dynamic State Recovery From Option Panels.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
2013 | Reflecting on the VPIN Dispute In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2014 | Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | 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 | 11 |
2015 | The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2014 | The Risk Premia Embedded in Index Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 79 |
2018 | The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | paper | |
2015 | The risk premia embedded in index options.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | article | |
2018 | The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2020 | The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2018 | Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Unified inference for nonlinear factor models from panels with fixed and large time span.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2018 | Option Panels in Pure-Jump Settings In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
2019 | Time-Varying Periodicity in Intraday Volatility.(2019) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2018 | Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
2017 | Short-Term Market Risks Implied by Weekly Options.(2017) In: Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2020 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 845 |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 845 | 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 nother version. Agregated cites: 845 | 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 nother version. Agregated cites: 845 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 83 |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | 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 nother version. Agregated cites: 83 | 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 nother version. Agregated cites: 83 | paper | |
2023 | Real-Time Detection of Local No-Arbitrage Violations In: 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 | 1060 |
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 | 280 |
1995 | GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.(1995) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 280 | 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 nother version. Agregated cites: 280 | paper | ||
2000 | Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 23 |
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 nother 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 nother 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 | 412 |
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 | 363 |
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 nother version. Agregated cites: 363 | paper | |
2001 | Variance?ratio Statistics and High?frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 33 |
2002 | An Empirical Investigation of Continuous?Time Equity Return Models In: Journal of Finance. [Full Text][Citation analysis] | article | 296 |
2001 | An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 296 | paper | |
2023 | Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
1998 | Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 6 |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 113 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | 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 | 13 |
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 nother version. Agregated cites: 13 | 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 nother version. Agregated cites: 13 | 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 | 16 |
2013 | A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2019 | INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
2022 | CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2003 | Modeling and Forecasting Realized Volatility In: Econometrica. [Citation analysis] | article | 1857 |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1857 | paper | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1857 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 167 |
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 | 274 |
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 | 153 |
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 nother version. Agregated cites: 153 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 107 |
2021 | Tail risk and return predictability for the Japanese equity market In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2021 | Consistent inference for predictive regressions in persistent economic systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2021 | Consistent Inference for Predictive Regressions in Persistent Economic Systems.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2022 | Testing for parameter instability and structural change in persistent predictive regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2021 | Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2023 | Intraday cross-sectional distributions of systematic risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
1997 | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
1997 | Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics. [Full Text][Citation analysis] | article | 232 |
1999 | Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 113 |
1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 599 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 159 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 101 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1015 |
2006 | Realized Beta: Persistence and Predictability In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 15 |
2004 | Realized Beta: Persistence and Predictability.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2008 | Realized volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 49 |
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 | 87 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | 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 | 108 |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 108 | article | |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 108 | 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 nother version. Agregated cites: 108 | 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 | 54 |
2009 | Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 6 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 1546 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 42 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | 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 nother version. Agregated cites: 42 | 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 nother version. Agregated cites: 42 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 73 |
2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 48 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 104 |
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 nother version. Agregated cites: 104 | 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 nother version. Agregated cites: 104 | paper | |
2015 | The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Cross-Sectional Dispersion of Risk in Trading Time In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions 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 | 9 |
1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 26 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2004 | Discussion In: The 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 | 7 |
2015 | Exploring Return Dynamics via Corridor Implied Volatility In: Review of Financial Studies. [Full Text][Citation analysis] | article | 43 |
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 | 41 |
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 nother version. Agregated cites: 41 | paper | |
2021 | Recalcitrant betas: Intraday variation in the cross?sectional dispersion of systematic risk In: Quantitative Economics. [Full Text][Citation analysis] | article | 1 |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team