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There are 10092 results for: content related to: Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

  1. Modeling and Forecasting Realized Volatility

    Econometrica

    Volume 71, Issue 2, March 2003, Pages: 579–625, Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

    Version of Record online : 24 OCT 2003, DOI: 10.1111/1468-0262.00418

  2. On the forecasting accuracy of multivariate GARCH models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 934–955, Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

    Version of Record online : 26 APR 2011, DOI: 10.1002/jae.1248

  3. Forecasting realized volatility: a Bayesian model-averaging approach

    Journal of Applied Econometrics

    Volume 24, Issue 5, August 2009, Pages: 709–733, Chun Liu and John M. Maheu

    Version of Record online : 28 APR 2009, DOI: 10.1002/jae.1070

  4. Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures

    The Econometrics Journal

    Volume 14, Issue 2, July 2011, Pages: 204–240, Almut E. D. Veraart

    Version of Record online : 7 JUN 2011, DOI: 10.1111/j.1368-423X.2010.00336.x

  5. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

    International Review of Finance

    Volume 14, Issue 3, September 2014, Pages: 345–392, Ke Yang and Langnan Chen

    Version of Record online : 10 APR 2014, DOI: 10.1111/irfi.12030

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    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Version of Record online : 4 DEC 2008, DOI: 10.1002/jae.1033

  7. Volatility Models

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sébastien Laurent, Pages: 1–45, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch1

  8. Realized GARCH: a joint model for returns and realized measures of volatility

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 877–906, Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

    Version of Record online : 17 MAR 2011, DOI: 10.1002/jae.1234

  9. Central bank intervention and exchange rate volatility, its continuous and jump components

    International Journal of Finance & Economics

    Volume 12, Issue 2, April 2007, Pages: 201–223, Michel Beine, Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely and Franz C. Palm

    Version of Record online : 2 APR 2007, DOI: 10.1002/ijfe.330

  10. A theoretical comparison between integrated and realized volatility

    Journal of Applied Econometrics

    Volume 17, Issue 5, September/October 2002, Pages: 479–508, Nour Meddahi

    Version of Record online : 28 OCT 2002, DOI: 10.1002/jae.689

  11. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS

    International Economic Review

    Volume 45, Issue 4, November 2004, Pages: 1079–1110, Torben G. Andersen, Tim Bollerslev and Nour Meddahi

    Version of Record online : 15 OCT 2004, DOI: 10.1111/j.0020-6598.2004.00298.x

  12. VOLATILITY MODELS

    The Japanese Economic Review

    Volume 58, Issue 1, March 2007, Pages: 1–23, KIMIO MORIMUNE

    Version of Record online : 8 FEB 2007, DOI: 10.1111/j.1468-5876.2007.00411.x

  13. HAR Modeling for Realized Volatility Forecasting

    Handbook of Volatility Models and Their Applications

    Fulvio Corsi, Francesco Audrino, Roberto Renò, Pages: 363–382, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch15

  14. The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

    Journal of Futures Markets

    Volume 27, Issue 4, April 2007, Pages: 337–359, Pierre Giot and Sébastien Laurent

    Version of Record online : 13 FEB 2007, DOI: 10.1002/fut.20251

  15. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

    Econometrica

    Volume 73, Issue 1, January 2005, Pages: 279–296, Torben G. Andersen, 1 Tim Bollerslev and 2 Nour Meddahi 3

    Version of Record online : 3 DEC 2004, DOI: 10.1111/j.1468-0262.2005.00572.x

  16. Integration of CARMA processes and spot volatility modelling

    Journal of Time Series Analysis

    Volume 34, Issue 2, March 2013, Pages: 156–167, Peter Brockwell and Alexander Lindner

    Version of Record online : 18 DEC 2012, DOI: 10.1111/jtsa.12011

  17. Multivariate high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 27, Issue 6, September/October 2012, Pages: 907–933, Diaa Noureldin, Neil Shephard and Kevin Sheppard

    Version of Record online : 4 AUG 2011, DOI: 10.1002/jae.1260

  18. Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures

    OPEC Energy Review

    Volume 38, Issue 4, December 2014, Pages: 373–397, Erik Haugom, Steinar Veka, Gudbrand Lien and Sjur Westgaard

    Version of Record online : 30 DEC 2014, DOI: 10.1111/opec.12024

  19. On portfolio optimization: How and when do we benefit from high-frequency data?

    Journal of Applied Econometrics

    Volume 24, Issue 4, June/July 2009, Pages: 560–582, Qianqiu Liu

    Version of Record online : 19 MAR 2009, DOI: 10.1002/jae.1062

  20. You have free access to this content
    Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 197–231, Professor Neil Shephard and Kevin Sheppard

    Version of Record online : 27 JAN 2010, DOI: 10.1002/jae.1158