A conditional extreme value volatility estimator based on high-frequency returnsTuran G. Bali, David Weinbaum2006-03-14articleJournal of Economic Dynamics and Control69 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsMarket Dynamics and VolatilityAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 69 citations exist upstream.References1973The Pricing of Options and Corporate Liabilities1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks1990Econometric Models and Economic Forecasts1992ARCH modeling in finance2003Modeling and Forecasting Realized VolatilityCited by2007A Generalized Extreme Value Approach to Financial Risk Measurement