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Vector Multiplicative Error Models: Representation and Inference
16 references·1 citing·36 second hopsampled
Vector Multiplicative Error Models: Representation and Inference (2006)Vector Multiplicative Error Models: Repre…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Copulas for Finance - A Reading Guide and Some Applications (2007)Copulas for Finance - A Readi…Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Forecasting Financial Volatil…A multiple indicators model for volatility using intra-daily data (2005)A multiple indicators model f…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003)A Multiple Indicators Model f…New frontiers for arch models (2002)New frontiers for arch modelsEconometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics (2009)A Model for Multivariate Non-…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)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)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Separating microstructure noise from volatility (2005)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Time and the Price Impact of a Trade (2000)Microstructure noise in the continuous case: The pre-averaging approach (2008)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2002New frontiers for arch models739 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
  • 2007Copulas for Finance - A Reading Guide and Some Applications426 cited
  • 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model366 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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315 cited
  • 2003A Multiple Indicators Model for Volatility Using Intra-Daily Data131 cited
  • Cited by

    • 2009A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics36 cited