[go: up one dir, main page]
create a website
Time Series Analysis. (2006). Nerlove, Marc ; Kilian, Lutz ; Diebold, Francis.
In: Working Papers.
RePEc:ags:umdrwp:28556.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 121

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Statistical-econometric model used in performance analysis of the company. (2016). Madalina - Gabriela Anghel, ; Calota, Luminita Madalina .
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:64:y:2016:i:10:p:33-40.

    Full description at Econpapers || Download paper

  2. A Matter of Time: Revisiting Growth Convergence in China. (2012). Opper, Sonja ; Edgerton, David ; Andersson, Fredrik ; Andersson , Fredrik N. G., ; Andersson, Fredrik N. G., .
    In: Working Papers.
    RePEc:hhs:lunewp:2011_023.

    Full description at Econpapers || Download paper

  3. The Relationship between Exchange Rates and Interest Rate Differentials: a Wavelet Approach. (2010). MÃ¥nsson, Kristofer ; Hacker, R Scott ; Kim, Hyunjoo ; Mnsson, Kristofer.
    In: Working Paper Series in Economics and Institutions of Innovation.
    RePEc:hhs:cesisp:0217.

    Full description at Econpapers || Download paper

  4. FURTHER EVIDENCE OF LONG MEMORY IN THE SOUTH AFRICAN STOCK MARKET. (2009). van Vuuren, Gary ; Morris, Quinton ; Styger, Paul .
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:77:y:2009:i:1:p:81-101.

    Full description at Econpapers || Download paper

  5. Econometric Analysis with Vector Autoregressive Models. (2007). Lütkepohl, Helmut ; Luetkepohl, Helmut .
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2007/11.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adelman, I. 1965. Long cycles - fact or artifact? American Economic Review 60, 443-63.
    Paper not yet in RePEc: Add citation now
  2. Akaike, H. 1970. Statistical predictor identification. Annals of the Institute of Statistical Mathematics 22, 203-17.
    Paper not yet in RePEc: Add citation now
  3. Akaike, H. 1974. A new look at the statistical model identification IEEE Transactions on Automatic Control 19, 716-23.
    Paper not yet in RePEc: Add citation now
  4. Andersen, T.G., Bollerslev, T., and Diebold, F.X. (2005). Parametric and nonparametric volatility measurement. Forthcoming in: Hansen, L.P., and Ait-Sahalia (eds.), Handbook of Financial Economics. Amsterdam: North Holland.
    Paper not yet in RePEc: Add citation now

  5. Andersen, T.G., Bollerslev, T., Christoffersen, P.F., and Diebold, F.X. 2005. Volatility and Conelation Forecasting. Forthcoming in: Elliott, G., Granger, C.W.J., and Zimmermann, A. (eds.), Handbook of Economic Forecasting. Amsterdam: North Holland.

  6. Anderson, T.W. 1971. The Statistical Analysis of Time Series. New York: John Wiley.
    Paper not yet in RePEc: Add citation now
  7. Anderson, T.W. 1977. Estimation for autoregressive moving average models in the time and frequency domains. Annals of Statistics 5, 842-65.
    Paper not yet in RePEc: Add citation now
  8. Anderson, T.W. and Takemura, A. 1984. Why do noninvertible moving averages occur? Technical Report No. 13, Department of Statistics, Stanford University.
    Paper not yet in RePEc: Add citation now
  9. Ansley, C.F. 1979. An algorithm for the exact likelihood of a mixed autoregressive-moving average process. Biometrika 66, 59-65.
    Paper not yet in RePEc: Add citation now

  10. Baillie, R.T. 1996. Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, 5-59.

  11. Baillie, R.T., Bollerslev, T., and Mikkelsen, H.-O. 1996. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74, 3-30.

  12. Bates, J., and Granger, C.W.J. 1969. The combination of forecasts. Operational Research Quarterly 20, 45 1-468.
    Paper not yet in RePEc: Add citation now

  13. Bell, W. and Hillmer, 5. 1984. Issues involved with seasonal analysis of economic time series. Journal of Business and Economic Statistics 2, 29 1-349.

  14. Bernanke, B.S. 1986. Alternative explanations of the money-income conelation. Carnegie-Rochester Conference Series on Public Policy, Amsterdam: North Holland.
    Paper not yet in RePEc: Add citation now

  15. Bernanke, B.S., and Mihov, I. 1998. Measuring monetary policy. Quarterly Journal of Economics 113, 869902.

  16. Beveridge, W.H. 1921. Weather and harvest cycles. Economic Journal 31, 429-52.
    Paper not yet in RePEc: Add citation now
  17. Beveridge, W.H. 1922. Wheat prices and rainfall in western Europe. Journal of the Royal Statistical Society 85, 4 12-59.
    Paper not yet in RePEc: Add citation now

  18. Blanchard, 0., and Quah, D. 1989. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79, 655-673.

  19. Boivin, J., and Ng, 5. 2005. Understanding and Comparing Factor Based Forecasts. Forthcoming in: International Journal of Central Banking.

  20. Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.

  21. Box, G.E.P. and Jenkins, G.M. 1970. Time Series Analysis. Forecasting and Control. San Francisco: Holden-Day.
    Paper not yet in RePEc: Add citation now
  22. Box, G.E.P., Hillmer, S.C. and Tiao, G.C. 1978. Analysis and modeling of seasonal time series. In Seasonal Analysis of Economic Time Series. ed. A. Zellner, Washington, DC: US Department of Commerce, Bureau of the Census, 309-44.
    Paper not yet in RePEc: Add citation now
  23. Brillinger, D.C. 1975. Time Series. Data Analysis and Theory. New York: Holt.
    Paper not yet in RePEc: Add citation now

  24. Bunidge, P. and Wallis, K.F. 1984. Calculating the variance of seasonally adjusted series. Working Paper, University of Warwick.

  25. Burman, J.P. 1980. Seasonal adjustment by signal extraction. Journal of the Royal Statistical Society, Series A, 143, 321-37.
    Paper not yet in RePEc: Add citation now

  26. Chambers, M.J. 1998. Long memory and aggregation in macroeconomic time series. International Economic Review 39, 1053-1072.

  27. Christiano, L.J., and Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435465.

  28. Christoffersen, P.F., and Diebold, F.X. 1996. Further results on forecasting and model selection under asymmetric loss. Journal of Applied Econometrics 11, 561-571.

  29. Christoffersen, P.F., and Diebold, F.X. 1997. Optimal Prediction under asymmetric loss. Econometric Theory 13, 808-817.

  30. Cournot, A.A. 1838. Researches into the Mathematical Principles of the Theory of Wealth. Trans. N.T.
    Paper not yet in RePEc: Add citation now

  31. Diebold, F.X., and A. Inoue 2001. Long memory and regime switching. Journal of Econometrics 105, 131159.

  32. Doob, J.L. 1953. Stochastic Processes. New York: John Wiley.
    Paper not yet in RePEc: Add citation now

  33. Durbin, J., and S.J. Koopman (2001). Time Series Analysis by State Space Methods. Oxford: Oxford University Press.

  34. Durlauf, S.N., and P.C.B. Phillips 1988. Trends versus random walks in time series analysis. Econometrica 56, 1333-1354.

  35. Elliott, G. 1998. The robustness of co-integration methods when regressors almost have unit roots. Econometrica 66, 49-58.
    Paper not yet in RePEc: Add citation now
  36. Engle, R.F. 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 50, 987-1008.
    Paper not yet in RePEc: Add citation now

  37. Engle, R.F., and Granger, C.W.J. 1987. Co-integration and error correction: Representation, estimation and testing. Econometrica 55, 251-276.

  38. Engle, R.F., and Granger, C.W.J. 1991. Long Run Economic Relations: Readings in Co-integration. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now

  39. Faust, J. 1998. The robustness of identified VAR conclusions about money. Carnegie-Rochester Conference Series on Public Policy 49, 207-244.

  40. Faust, J., Swanson, E., and Wright, J. 2004. Identifying VARs based on high frequency futures data. Journal of Monetary Economics 51, 1107-1131.

  41. Fishman, G.S. 1969. Spectral Methods in Econometrics. Cambridge: Harvard University Press.
    Paper not yet in RePEc: Add citation now
  42. Franses, P.H. (1996). Periodicity and Stochastic Trends in Economic Tim Series. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now
  43. Fuller, W.A. 1976. Introduction to Statistical Time Series. New York: John Wiley.
    Paper not yet in RePEc: Add citation now
  44. Geweke, J., and Porter-Hudak, 5. 1983. The estimation and application of long memory series models. Journal of Time Series Analysis 4, 221-238.
    Paper not yet in RePEc: Add citation now

  45. Ghysels, E., and Osborn, D. (2001). The Econometric Analysis of Seasonal Time Series. Cambridge: Cambridge University Press.

  46. Granger, C.W.J. 1966. The typical spectral shape of an economic variable. Econometrica 34, 150-6 1.
    Paper not yet in RePEc: Add citation now
  47. Granger, C.W.J. 1969. Prediction with a generalized cost of error function. Operations Research Quarterly 20, 199-207.
    Paper not yet in RePEc: Add citation now

  48. Granger, C.W.J. 1980. Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 14, 227-23 8.

  49. Granger, C.W.J. 1981. Some properties of time series data and their use in econometric model specification. Journal of Econometrics 16, 12 1-130.

  50. Granger, C.W.J. and Newbold, P. 1974. Spurious regressions in econometrics. Journal of Econometrics 2, 111- 120.

  51. Granger, C.W.J. and Newbold, P. 1977. Forecasting Economic Time Series. New York: Academic Press.
    Paper not yet in RePEc: Add citation now
  52. Granger, C.W.J., and Teräsvirta, T. (1993). Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now

  53. Grether, D.M. and Nerlove, M. 1970. Some properties of `optimal seasonal adjustment. Econometrica 38, 682-703.

  54. Hamilton, J.D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384. Krishnaiah, New York: Academic Press, 83-121.

  55. Hannan, E.J. 1960. Time Series Analysis. London: Methuen.
    Paper not yet in RePEc: Add citation now
  56. Hannan, E.J. 1969. The estimation of mixed moving average autoregressive systems. Biometrika 56, 223-5.
    Paper not yet in RePEc: Add citation now
  57. Hannan, E.J. 1970. Multiple Time Series. New York: John Wiley.
    Paper not yet in RePEc: Add citation now

  58. Hannan, E.J. 1971. The identification problem for multiple equation systems with moving average errors. Econometrica 39, 75 1-65.

  59. Hannan, E.J. 1976. The identification and parameterization of ARMAX and state space forms. Econometrica 44, 713-23.

  60. Hannan, E.J. 1979. The statistical theory of linear systems. In Developments in Statistics, ed. P.R.
    Paper not yet in RePEc: Add citation now
  61. Harvey, A.C. 1981. The Econometric Analysis of Time Series. Oxford: Allan.
    Paper not yet in RePEc: Add citation now
  62. Harvey, A.C. 1981. Time Series Models. Oxford: Allan.
    Paper not yet in RePEc: Add citation now
  63. Harvey, A.C. 1984. A unified view of statistical forecasting procedures. Journal of Forecasting 3, 245-75.
    Paper not yet in RePEc: Add citation now
  64. Harvey, A.C. 1989. Forecasting. Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  65. Harvey, A.C. and Peters, 5. 1984. Estimation procedures for structural TSMs. Working Paper, London School of Economics.
    Paper not yet in RePEc: Add citation now

  66. Harvey, A.C. and Todd, P.H.J. 1984. Forecasting economic time series with structural and Box-Jenkins models: a case study (with discussion). Journal of Business and Economic Statistics 1, 299-3 15.

  67. Hatanaka, M. 1975. On the global identification of the dynamic simultaneous equations model with stationary disturbances. International Economic Review 16, 545-54.

  68. Hillmer, S.C. and Tiao, G.C. 1982. An ARIMA-model-based approach to seasonal adjustment. Journal of the American Statistical Association 77, 63-70.
    Paper not yet in RePEc: Add citation now
  69. Hillmer, S.C. Bell, W.R. and Tiao, G.C. 1983. Modeling considerations in the seasonal analysis of economic time series. In Applied Time Series Analysis of Economic Data, ed. A. Zellner. Washington, DC: Dept. of Commerce, Bureau of the Census, 74-100.
    Paper not yet in RePEc: Add citation now
  70. Holt, C.C. 1957. Forecasting seasonals and trends by exponentially weighted moving averages. ONR Research Memorandum No. 52, Carnegie Institute of Technology.
    Paper not yet in RePEc: Add citation now
  71. Hylleberg, 5. (1992). Modelling Seasonality. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now

  72. Johansen, 5. 1995. Likelihood Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.

  73. Kalman, R.E. 1960. A new approach to linear filtering and prediction problems. Transactions of the American Society of Mechanical Engineers. Journal of Basic Engineering, Series D 82, 35-45.
    Paper not yet in RePEc: Add citation now

  74. King, R.G., Plosser, C.I., Stock, J.H., and Watson, M.W. 1991. Stochastic trends and economic fluctuations. American Economic Review 81, 8 19-840.

  75. Kolmogorov, A. 1941. Interpolation und Extrapolation von Stationären Zufaligen Folgen. Bulletin of the Academy Science (Nauk), USSR, Mathematical Series 5, 3-14.
    Paper not yet in RePEc: Add citation now
  76. Koopmans, L.H. 1974. The Spectral Analysis of Time Series. New York: Academic Press.
    Paper not yet in RePEc: Add citation now

  77. Kuznets, 5. 1961. Capital and the American Economy: Its Formation and Financing. New York: NBER.

  78. Maravall, A. 1984. model-based treatment of a manic depressive series. Working Paper, Bank of Spain, Madrid.
    Paper not yet in RePEc: Add citation now
  79. Muth, J.F. 1960. Optimal properties of exponentially weighted forecasts. Journal of the American Statistical Association 55, 299-305.
    Paper not yet in RePEc: Add citation now

  80. Nelson, C.R., and Kang, H. 1981. Spurious periodicity in inappropriately detrended time series. Econometrica 49, 741-752.

  81. Nelson, C.R., and Plosser, C.I. 1982. Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics 10, 139-162.

  82. Nerlove, M. 1964. Spectral analysis of seasonal adjustment procedures. Econometrica 32, 241-86.
    Paper not yet in RePEc: Add citation now
  83. Nerlove, M. 1965. A comparison of a modified Hannan and the BLS seasonal adjustment filters. Journal of the American Statistical Association 60, 442-91.
    Paper not yet in RePEc: Add citation now

  84. Nerlove, M. 1967. Distributed lags and unobserved components in economic time series. In Ten Economic Essays in the Tradition of Irving Fisher, ed. W. Fellner, et al., 126-69, New York: John Wiley.

  85. Nerlove, M. and Wage, 5. 1964. On the optimality of adaptive forecasting. Management Science 10, 20724.

  86. Nerlove, M., Grether, D.M. and Carvalho, J.L. 1979. Analysis of Economic Time Series. New York: Academic Press.

  87. Newbold, P. 1974. The exact likelihood function for a mixed autoregressive-moving average process. Biometrika 6 1(3), 423-6.
    Paper not yet in RePEc: Add citation now
  88. Parzen, E. 1961. An approach to time series analysis. Annals of Mathematical Statistics 32, 95 1-89.
    Paper not yet in RePEc: Add citation now

  89. Phillips, P.C.B. 1986. Understanding spurious regressions in econometrics. Journal of Econometrics 33, 3 11-340.

  90. Phillips, P.C.B., and Durlauf, S.N. 1986. Multiple time series regression with integrated processes. Review of Economic Studies 53, 473-495.

  91. Phillips, P.C.B., and Hansen, B.E. 1990. Statistical inference in instrumental variables regression with 1(1) processes. Review of Economic Studies 57, 99-125.

  92. Pierce, D.A. 1978. Seasonal adjustment when both deterministic and stochastic seasonality are present. In Seasonal Analysis of Economic Time Series, ed. A. Zellner, Washington, DC: Department of Commerce, Bureau of the Census, 242-8 0.

  93. Pierce, D.A. 1979. Signal extraction error in nonstationary time series. Annals of Statistics 7, 1303-20.
    Paper not yet in RePEc: Add citation now
  94. Priestley, M.B. 1981. Spectral Analysis and Time Series. New York: Academic Press.
    Paper not yet in RePEc: Add citation now
  95. Raftery, A.E., Madigan, D., and Hoeting, J.A. 1997. Bayesian model averaging for linear regression models. Journal of the American Statistical Association 92, 179-191.
    Paper not yet in RePEc: Add citation now

  96. Ravn, M., and Uhlig, H. 2002. On adjusting the HP-filter for the frequency of observations. Review of Economics and Statistics 84, 37 1-376 Rigobon, R. 2003. Identification through heteroskedasticity. Review of Economics and Statistics 85, 777792.

  97. Rudebusch, G.D. 1993. The uncertain unit root in real GNP. American Economic Review 83, 264-272.

  98. Sargan, J.D. and Bhargava, A. 1983. Maximum likelihood estimation of regression models with moving average errors when the root lies on the unit circle. Econometrica 5 1(3), May, 799-820.

  99. Schuster, A. 1898. On the investigation of hidden periodicities with application to the supposed 26-day period of meteorological phenomena. Terrestrial Magnetism and Atmospheric Electricity [now Journal of Geophysical Research], 3, 13-41.
    Paper not yet in RePEc: Add citation now
  100. Schwarz, G. 1978. Estimating the dimension of a model. Annals of Statistics 6, 46 1-464.
    Paper not yet in RePEc: Add citation now
  101. Schweppe, F.C. 1965. Evaluation of likelihood functions for Gaussian signals. IEEE Transactions on Information Theory 11, 61-70.
    Paper not yet in RePEc: Add citation now

  102. Shapiro, M.D., and Watson, M.W. 1988. Sources of business cycle fluctuations. NBER Macroeconomics Annual3, 111-156.

  103. Shephard, N. (2005). Stochastic Volatility: Selected Readings. Oxford: Oxford University Press.

  104. Sims, C.A. 1980. Macroeconomics and reality. Econometrica 48, 1-48.

  105. Sims, C.A. 1986. Are forecasting models usable for policy analysis? Quarterly Review, Federal Reserve Bank of Minneapolis 10, 2-16.

  106. Sims, C.A., Stock, J.H., and Watson, M.W. 1991. Inference in linear time series models with some unit roots. Econometrica 58, 113-144.
    Paper not yet in RePEc: Add citation now
  107. Slutsky, E. 1927. The summation of random causes as the source of cyclic processes. Econometrica 5, April 1937, 105-46.
    Paper not yet in RePEc: Add citation now

  108. Sowell, F.B. 1992. Maximum likelihood estimation of stationary univariate fractionally integrated time series models. Journal of Econometrics 53, 165-188.

  109. Stock, J.H. 1991. Confidence intervals for the largest autoregressive root in U.S. economic time series. Journal of Monetary Economics 28, 435-460.

  110. Stock, J.H., and Watson, M.W. 1993. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-820.

  111. Stock, J.H., and Watson, M.W. 2000a. Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97, 1167-1179.
    Paper not yet in RePEc: Add citation now
  112. Stock, J.H., and Watson, M.W. 2000b. Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics 20, 147-162.
    Paper not yet in RePEc: Add citation now
  113. Stokes, G.C. 1879. Note on searching for hidden periodicities. Proceedings of the Royal Society 29, 122-5.
    Paper not yet in RePEc: Add citation now

  114. Theil, H. and Wage, 5. 1964. Some observations on adaptive forecasting. Management Science 10, 198-206.

  115. Wallis, K.F. 1977. Multiple time series analysis and the final form of econometric models. Econometrica 45(6), September, 148 1-97.

  116. Whittle, P. 1963. Prediction and Regulation by Linear Least-squares Methods. London: English Universities Press.
    Paper not yet in RePEc: Add citation now
  117. Wiener, N. 1949. The Extrapolation, Interpolation and Smoothing of Stationary Time Series with Engineering Applications. New York: John Wiley.
    Paper not yet in RePEc: Add citation now

  118. Winters, P.R. 1960. Forecasting sales by exponentially weighted moving averages. Management Science 6, 324-42.

  119. Wold, H.O. 1938. A Study in the Analysis of Stationary Time Series. Stockholm: Almqvist and Wiksell.
    Paper not yet in RePEc: Add citation now
  120. Yule, G.U. 1921. On the time-correlation problem, with special reference to the variate-difference correlation method. Journal of the Royal Statistical Society 84, July, 497-526.
    Paper not yet in RePEc: Add citation now
  121. Yule, G.U. 1926. Why do we sometimes get nonsense correlations between time series? A study in sampling and the nature of time series. Journal of the Royal Statistical Society 89, 1-64.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika .
    In: MPRA Paper.
    RePEc:pra:mprapa:80266.

    Full description at Econpapers || Download paper

  2. Dynamic copula models and high frequency data. (2015). Patton, Andrew ; De Lira Salvatierra, Irving, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:120-135.

    Full description at Econpapers || Download paper

  3. The impact of jumps and thin trading on realized hedge ratios. (2013). Henry, Ólan ; Dungey, Mardi ; Hvodzdyk, Lyudmyla .
    In: Working Papers.
    RePEc:tas:wpaper:16318.

    Full description at Econpapers || Download paper

  4. A Fear Index to Predict Oil Futures Returns. (2013). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2013.62.

    Full description at Econpapers || Download paper

  5. On loss functions and ranking forecasting performances of multivariate volatility models. (2013). Violante, Francesco ; Rombouts, Jeroen ; Laurent, Sébastien ; Rombouts, Jeroen V. K., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:1-10.

    Full description at Econpapers || Download paper

  6. Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?. (2012). Sabiwalsky, Ralf .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-008.

    Full description at Econpapers || Download paper

  7. Heterogeneous gain learning and the dynamics of asset prices. (2012). Lebaron, Blake.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:83:y:2012:i:3:p:424-445.

    Full description at Econpapers || Download paper

  8. Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2233-2244.

    Full description at Econpapers || Download paper

  9. Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts. (2012). Capistrán, Carlos ; Capistran, Carlos ; Benavides, Guillermo .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:627-639.

    Full description at Econpapers || Download paper

  10. VaR methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return. (2012). Juan, He ; Daoli, Zhu ; Lei, Zhen ; Jian, Wang ; Xianglin, Jiang .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:223:y:2012:i:1:p:106-115.

    Full description at Econpapers || Download paper

  11. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. (2012). Strasser, Georg ; Diebold, Francis.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:693.

    Full description at Econpapers || Download paper

  12. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2011:i:2:p:116-141.

    Full description at Econpapers || Download paper

  13. The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting. (2011). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros .
    In: MPRA Paper.
    RePEc:pra:mprapa:35252.

    Full description at Econpapers || Download paper

  14. Are realized volatility models good candidates for alternative Value at Risk prediction strategies?. (2011). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros .
    In: MPRA Paper.
    RePEc:pra:mprapa:30364.

    Full description at Econpapers || Download paper

  15. Data-based ranking of realised volatility estimators. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

    Full description at Econpapers || Download paper

  16. Volatility forecast comparison using imperfect volatility proxies. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:246-256.

    Full description at Econpapers || Download paper

  17. Realized volatility forecasting and market microstructure noise. (2011). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:220-234.

    Full description at Econpapers || Download paper

  18. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:176-189.

    Full description at Econpapers || Download paper

  19. Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-46.

    Full description at Econpapers || Download paper

  20. Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan. (2010). Naqvi, Bushra ; Syed Kumail Abbas Naqvi, .
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:15:y:2010:i:2:p:1-33.

    Full description at Econpapers || Download paper

  21. General-to-specific modelling of exchange rate volatility: A forecast evaluation. (2010). Sucarrat, Genaro ; Bauwens, Luc.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:4:p:885-907.

    Full description at Econpapers || Download paper

  22. Tracking a changing copula. (2010). Harvey, Andrew.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:3:p:485-500.

    Full description at Econpapers || Download paper

  23. Non-negativity conditions for the hyperbolic GARCH model. (2010). Conrad, Christian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:441-457.

    Full description at Econpapers || Download paper

  24. Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps. (2010). Theodosiou, Marina .
    In: Working Papers.
    RePEc:cyb:wpaper:2010-7.

    Full description at Econpapers || Download paper

  25. Forecast Evaluation of Explanatory Models of Financial Variability. (2009). Sucarrat, Genaro.
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:7594.

    Full description at Econpapers || Download paper

  26. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION. (2009). Galbraith, John ; Zhu, Dongming .
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-01.

    Full description at Econpapers || Download paper

  27. Cross-section of option returns and volatility. (2009). Goyal, Amit ; Saretto, Alessio .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:2:p:310-326.

    Full description at Econpapers || Download paper

  28. Optimal combinations of realised volatility estimators. (2009). Sheppard, Kevin ; Patton, Andrew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:218-238.

    Full description at Econpapers || Download paper

  29. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models. (2009). Rombouts, Jeroen ; Laurent, Sébastien ; Violente, Francesco .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-45.

    Full description at Econpapers || Download paper

  30. Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution. (2009). Galbraith, John ; Zhu, Dongming .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-24.

    Full description at Econpapers || Download paper

  31. Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts. (2009). Capistrán, Carlos ; Benavides, Guillermo .
    In: Working Papers.
    RePEc:bdm:wpaper:2009-01.

    Full description at Econpapers || Download paper

  32. Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan. (2008). Rizvi, Syed Kumail Abbas ; Naqvi, Bushra ; Rizvi, Syed Kumail Abbas, .
    In: MPRA Paper.
    RePEc:pra:mprapa:19488.

    Full description at Econpapers || Download paper

  33. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-038.

    Full description at Econpapers || Download paper

  34. Macroeconomic Volatility and Stock Market Volatility, World-Wide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-031.

    Full description at Econpapers || Download paper

  35. Macroeconomic Volatility and Stock Market Volatility, Worldwide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14269.

    Full description at Econpapers || Download paper

  36. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:65-90.

    Full description at Econpapers || Download paper

  37. Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2008_03.

    Full description at Econpapers || Download paper

  38. Momentum profits and time-varying unsystematic risk. (2008). O'Sullivan, Niall ; Brooks, Chris ; Miffre, Joelle.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:4:p:541-558.

    Full description at Econpapers || Download paper

  39. General to specific modelling of exchange rate volatility : a forecast evaluation. (2008). Sucarrat, Genaro ; Bauwens, Luc.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we081810.

    Full description at Econpapers || Download paper

  40. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-49.

    Full description at Econpapers || Download paper

  41. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

    Full description at Econpapers || Download paper

  42. Non-negativity Conditions for the Hyperbolic GARCH Model. (2007). Conrad, Christian.
    In: KOF Working papers.
    RePEc:kof:wpskof:07-162.

    Full description at Econpapers || Download paper

  43. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

    Full description at Econpapers || Download paper

  44. Economic Forecasting. (2007). Timmermann, Allan ; Elliott, Graham.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6158.

    Full description at Econpapers || Download paper

  45. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:175.

    Full description at Econpapers || Download paper

  46. Momentum Profits and Time-Varying Unsystematic Risk. (2006). Brooks, Chris ; Miffre, Joelle ; Li, Xiafei.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-09.

    Full description at Econpapers || Download paper

  47. Time Series Analysis. (2006). Nerlove, Marc ; Kilian, Lutz ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-019.

    Full description at Econpapers || Download paper

  48. International stock-bond correlations in a simple affine asset pricing model. (2006). d'Addona, Stefano ; Kind, Axel H..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:10:p:2747-2765.

    Full description at Econpapers || Download paper

  49. Financial econometric analysis at ultra-high frequency: Data handling concerns. (2006). Gallo, Giampiero ; Brownlees, Christian.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2232-2245.

    Full description at Econpapers || Download paper

  50. Time Series Analysis. (2006). Nerlove, Marc ; Kilian, Lutz ; Diebold, Francis.
    In: Working Papers.
    RePEc:ags:umdrwp:28556.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 06:19:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.