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Stylized Facts of Financial Time Series and Three Popular Models of Volatility
16 references·3 citing·29 second hop
Stylized Facts of Financial Time Series and Three Popular Models of Volatility (2004)Stylized Facts of Financial Time Series a…Modelling Financial Time Series (2007)Modelling Financial Time Seri…On more robust estimation of skewness and kurtosis (2004)On more robust estimation of …Properties of moments of a family of GARCH processes (1999)Properties of moments of a fa…Stylized facts of daily return series and the hidden Markov model (1998)Stylized facts of daily retur…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…5 Stochastic volatility (1996)5 Stochastic volatilityQuadratic ARCH Models (1995)Quadratic ARCH ModelsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Stylized facts of return series, robust estimates and three popular models of volatility (2010)Stylized facts of return seri…FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS (2010)FORECASTING REALIZED VOLATILI…Modelling and Forecasting Noisy Realized Volatility (2009)Modelling and Forecasting Noi…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Pricing of Options and Corporate Liabilities (1973)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 2004On more robust estimation of skewness and kurtosis523 cited
  • 1998Stylized facts of daily return series and the hidden Markov model346 cited
  • 1999

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Properties of moments of a family of GARCH processes
278 cited

Cited by

  • 2010Stylized facts of return series, robust estimates and three popular models of volatility49 cited
  • 2009Modelling and Forecasting Noisy Realized Volatility48 cited
  • 2010FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS28 cited