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SEMIPARAMETRIC VECTOR MEM
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SEMIPARAMETRIC VECTOR MEM (2012)SEMIPARAMETRIC VECTOR MEMRealising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Realising the future: forecas…Comparison of Volatility Measures: a Risk Management Perspective (2009)Comparison of Volatility Meas…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Why Do Absolute Returns Predict Volatility So Well? (2006)Why Do Absolute Returns Predi…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…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…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…New frontiers for arch models (2002)New frontiers for arch modelsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Realized volatility forecasting: Robustness to measurement errors (2020)Realized volatility forecasti…Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis (2018)Volatility spillovers among t…A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics (2009)A Model for Multivariate Non-…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risk and Volatility: Econometric Models and Financial Practice (2004)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Option pricing when underlying stock returns are discontinuous (1976)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)The Cross‐Section of Volatility and Expected Returns (2006)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
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2002New frontiers for arch models739 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
  • 2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models436 cited
  • 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
  • 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model366 cited

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2006
Chapter 15 Volatility and Correlation Forecasting
330 cited
  • 2009Comparison of Volatility Measures: a Risk Management Perspective195 cited
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    • 2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis52 cited
    • 2020Realized volatility forecasting: Robustness to measurement errors44 cited
    • 2009A Model for Multivariate Non-Negative Valued Processes in Financial Econometrics36 cited