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Multivariate Realized Stock Market Volatility · Study

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PreprintMultivariate Realized Stock Market Volatility

Keith Vorkink2006

OA

Preprintgreen2006

Multivariate Realized Stock Market Volatility

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1993Measuring and Testing the Impact of News on Volatility 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

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2008Modelling and Forecasting Multivariate Realized Volatility

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.938151

openalex_workW1607936283

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