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A Multiple Indicators Model for Volatility Using Intra-Daily Data
16 references·16 citing·39 second hopsampled
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(2001)What good is a volatility mod…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …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 econometrics of ultra-high frequency data /The econometrics of ultra-hig…Option valuation with observable volatility and jump dynamics (2015)Option valuation with observa…Modeling the daily electricity price volatility with realized measures (2014)Modeling the daily electricit…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)Observation Driven Mixed-Meas…Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (2010)Realized GARCH: A Joint Model…Intra-daily Volume Modeling and Prediction for Algorithmic Trading (2010)Intra-daily Volume Modeling a…A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics (2009)A Model for Multivariate Non-…A high–low model of daily stock price ranges (2008)A high–low model of daily sto…A General Framework for Observation Driven Time-Varying Parameter Models (2008)A General Framework for Obser…An empirical model of daily highs and lows (2007)An empirical model of daily h…Vector Multiplicative Error Models: Representation and Inference (2006)Vector Multiplicative Error M…Volatility Transmission Models: A Survey (2005)Volatility Transmission Model…Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics (2005)Variation, Jumps, Market Fric…Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005)Practical Volatility and Corr…Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005)Practical Volatility and Corr…Mixture Processes for Financial Intradaily Durations (2004)Mixture Processes for Financi…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Continuous Auctions and Insider Trading (1985)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)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)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)
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References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 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
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2002

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New frontiers for arch models
739 cited
  • 2001What good is a volatility model?691 cited
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    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2014Modeling the daily electricity price volatility with realized measures40 cited
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