Journal of Applied Econometrics

Cover image for Vol. 27 Issue 6

Special Issue: Themes on Modelling Volatility

September/October 2012

Volume 27, Issue 6

Pages 877–1036

  1. Research Articles

    1. Top of page
    2. Research Articles
    1. Realized GARCH: a joint model for returns and realized measures of volatility (pages 877–906)

      Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

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

    2. Multivariate high-frequency-based volatility (HEAVY) models (pages 907–933)

      Diaa Noureldin, Neil Shephard and Kevin Sheppard

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

    3. On the forecasting accuracy of multivariate GARCH models (pages 934–955)

      Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

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

    4. A comprehensive look at financial volatility prediction by economic variables (pages 956–977)

      Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf

      Version of Record online: 11 AUG 2012 | DOI: 10.1002/jae.2298

    5. Testing distributional assumptions: A GMM aproach (pages 978–1012)

      Christian Bontemps and Nour Meddahi

      Version of Record online: 5 JUL 2011 | DOI: 10.1002/jae.1250