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Econometric estimation in long-range dependent volatility models: Theory and practice
16 references·3 citing·36 second hop
Econometric estimation in long-range dependent volatility models: Theory and practice (2008)Econometric estimation in long-range depe…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Inverted-U relationship between R&D intensity and survival: Evidence on scale and complementarity effects in UK data (2016)Inverted-U relationship betwe…Estimation of Long Memory in Integrated Variance (2013)Estimation of Long Memory in …When long memory meets the Kalman filter: A comparative study (2012)When long memory meets the Ka…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
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  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1997

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Estimating continuous-time stochastic volatility models of the short-term interest rate
500 cited

Cited by

  • 2016Inverted-U relationship between R&D intensity and survival: Evidence on scale and complementarity effects in UK data71 cited
  • 2013Estimation of Long Memory in Integrated Variance28 cited
  • 2012When long memory meets the Kalman filter: A comparative study26 cited