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An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
16 references·0 citing·41 second hop
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (2016)An equation-by-equation estimator of a mu…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Realising the future: forecas…Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Quasi-maximum-likelihood esti…A multiple indicators model for volatility using intra-daily data (2005)A multiple indicators model f…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Another Look at Models of the Short-Term Interest Rate (1996)Another Look at Models of the…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELBid—ask spreads and volatility in the foreign exchange market (1994)Bid—ask spreads and volatilit…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …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…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Pricing of Options and Corporate Liabilities (1973)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)The Behavior of Stock-Market Prices (1965)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A long memory property of stock market returns and a new model (1993)Volatility transmission in emerging European foreign exchange markets (2011)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Artificial intelligence and machine learning in finance: A bibliometric review (2022)
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References

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  • 2002Dynamic Conditional Correlation7,126 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
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  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
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  • 2005A multiple indicators model for volatility using intra-daily data487 cited
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  • 2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models436 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 2006Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach395 cited
  • 1996

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Another Look at Models of the Short-Term Interest Rate
306 cited
  • 1994Bid—ask spreads and volatility in the foreign exchange market300 cited
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