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Persistence of volatility in futures markets
16 references·4 citing·32 second hop
Persistence of volatility in futures markets (2006)Persistence of volatility in futures mark…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The persistence of financial volatility after COVID-19 (2021)The persistence of financial …Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange (2019)Investors' Trading Behaviour …Asymmetric Information and Volatility Forecasting in Commodity Futures Markets (2013)Asymmetric Information and Vo…Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility (2009)Dual Long-Memory, Structural …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Behavior of Stock-Market Prices (1965)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Theory of Financial Decision Making. (1988)Does Algorithmic Trading Improve Liquidity? (2011)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
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  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

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876 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
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    • 2021The persistence of financial volatility after COVID-1940 cited
    • 2009Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility28 cited
    • 2019Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange27 cited
    • 2013Asymmetric Information and Volatility Forecasting in Commodity Futures Markets26 cited