[go: up one dir, main page]
create a website
Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Mees, Alistair ; Pilgram, Berndt.
In: Econometric Society World Congress 2000 Contributed Papers.
RePEc:ecm:wc2000:1162.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 32

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

    This document has not been cited yet.

References

References cited by this document

  1. Andersen, T.G., and T. Bollerslev, Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review, 39, 885-905, 1998.

  2. Black, F., Studies in stock price volatility changes, Proceedings of the 1976 Business Meeting of the Business and Economic Statistics Association, American Statistical Association, 177-181, 1976.
    Paper not yet in RePEc: Add citation now
  3. Blair, B., S.H. Poon, and S.J. Taylor, Asymmetry and crash eects in stock volatility for the S&P 100 index and its constituents. Working Paper, Lancaster University, 1998.
    Paper not yet in RePEc: Add citation now
  4. Bollerslev, T. and J.M. Wooldridge, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Review, 11, 143-172, 1992.
    Paper not yet in RePEc: Add citation now

  5. Bollerslev, T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327, 1986.

  6. Cai, J., A Markov model of switching-regime ARCH, Journal of Business & Economic Statistics, 12, 309-316, 1994.

  7. Campbell, J., and L. Hentschel, No news is good news: an asymmetric model of changing volatility in stock returns, International Conference on ARCH models, Paris, June 25-26, 1990.

  8. Christie, A.A., The stochastic behaviour of common stock variances: value, leverage and interest rate eects, Journal of Financial Economics, 10, 407432, 1982.

  9. Diebold, F.X., Empirical modelling of exchange rate dynamics., Springer Verlag, New York, 1988.
    Paper not yet in RePEc: Add citation now

  10. Ding, Z., R.F. Engle, and C.W.J. Granger, A long memory property of stock market returns and a new model, Journal of Empirical Finance, 1, 83-106, 1993.

  11. Duee, G.R., Stock returns and volatility: a firm level analysis, Journal of Financial economics, 37, 399-420, 1995.

  12. Engle, R.F., and G.G.J. Lee, A permanent and transitory component model of stock return volatility, Discussion Paper 92-44R, University of California, San Diego, 1993.
    Paper not yet in RePEc: Add citation now

  13. Engle, R.F., Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007, 1982.

  14. Ghose, D., and K. F. Kroner, The relationship between GARCH and symmetric stable processes: finding the source of fat tails in financial data, Journal of Finance, 2, 225-251, 1995.

  15. Glosten, L.R., Jagannathan, R. and D. runkle, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779-1801, 1993.

  16. Hamilton, J.D., and R. Susmel, Autoregressive conditional heteroskedasticity and changes in regime, Journal of Econometrics, 64, 307-333, 1994.

  17. He, C., and T. Terasvirta, Fourth moment structure of the GARCH(p,q) process, to appear in Econometric Theory, 16, 2000.

  18. Hillmer, S.C, Bell, W.R., and G.C. Tiao, Modeling considerations in the seasonal adjustment of economic time series, in Applied time series analysis of economic data, Ed. A. Zellner, Washington, D.C., U.S. Bureau of the Census, 74-100, 1983.
    Paper not yet in RePEc: Add citation now
  19. Hotelling, H., Relations between two sets of variates, Biometrika, 28, 321377, 1936.
    Paper not yet in RePEc: Add citation now
  20. Judd, K., and A.I. Mees, A model selection algorithm for nonlinear time series, Physica D, 82, 426-444, 1995.
    Paper not yet in RePEc: Add citation now
  21. Judd, K., and A.I. Mees, Embedding as a modelling problem, Physica D, 120, 273-286, 1998.
    Paper not yet in RePEc: Add citation now

  22. Kim, C.J., and M.J. Kim, Transient fads and the crash of 87, Journal of Applied Econometrics, 11, 41-58, 1996.

  23. Koutmos, G., Asymmetries in the conditional mean and the conditional variance: evidence from nine stock markets, Journal of Economics and Business, 50, 277-290, 1998.

  24. Larimore, W.E., Identification and filtering of nonlinear systems using canonical variate analysis, in Nonlinear Modeling and Forecasting, Eds. Casdagli, M., and S. Eubank, Addison-Wesley, Reading, MA, 283-303, 1991.
    Paper not yet in RePEc: Add citation now

  25. Mandelbrot, B., The variation of certain speculative prices, Journal of Business, 36, 394-419, 1963.

  26. Nelson, D.B., Stationarity and persistence in the GARCH(1,1) model, Journal of Econometrics, 45, 7-38, 1990.

  27. Sentana, E.,Quadratic ARCH models: a potential reinterpretation of ARCH models as second-order Taylor approximations, Unpublished paper, London School of Economics, 1991.

  28. Susmel, R., Switching volatility in Latin American emerging equity markets, Emerging Market Quarterly, 2, 44-56, 1998.
    Paper not yet in RePEc: Add citation now

  29. Terasvirta, T., and H.M. Anderson, Characterising nonlinearities in business cycles using smooth transition autoregressive models, Journal of Applied Econometrics, 7, 119-139, 1992.

  30. Terasvirta, T., Two stylized facts and the GARCH(1,1) model, Working Paper Series in Economics and Finance No. 96, Stockholm School of Economics, 1996.
    Paper not yet in RePEc: Add citation now

  31. Weiss, A.A., Asymptotic theory for ARCH models: estimation and testing, Econometric Theory, 2, 107-131, 1986.

  32. Zakoian, J.M., Threshold heteroskedastic models, Journal of Economic Dynamics and Control, 18, 931-955, 1994.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Papers.
    RePEc:arx:papers:1912.07165.

    Full description at Econpapers || Download paper

  2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

    Full description at Econpapers || Download paper

  3. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin .
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:288-294.

    Full description at Econpapers || Download paper

  4. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1202.1854.

    Full description at Econpapers || Download paper

  5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18046.

    Full description at Econpapers || Download paper

  6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

    Full description at Econpapers || Download paper

  7. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583.

    Full description at Econpapers || Download paper

  8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:10:y:2010:p:5-14.

    Full description at Econpapers || Download paper

  9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  10. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

    Full description at Econpapers || Download paper

  11. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

  12. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

    Full description at Econpapers || Download paper

  13. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0095.

    Full description at Econpapers || Download paper

  14. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

  15. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

    Full description at Econpapers || Download paper

  16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

  17. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:160.

    Full description at Econpapers || Download paper

  18. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

  19. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

  20. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Rubio, Javier Giner ; Marrero, Sandra Morini.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-10.

    Full description at Econpapers || Download paper

  21. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

  22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
    In: Working Papers.
    RePEc:bro:econwp:2003-01.

    Full description at Econpapers || Download paper

  23. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

  24. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

  25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

    Full description at Econpapers || Download paper

  26. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:may:p:43-54:n:v.84no.3.

    Full description at Econpapers || Download paper

  27. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

    Full description at Econpapers || Download paper

  28. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

    Full description at Econpapers || Download paper

  29. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

  30. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

    Full description at Econpapers || Download paper

  31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

    Full description at Econpapers || Download paper

  32. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

    Full description at Econpapers || Download paper

  34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

    Full description at Econpapers || Download paper

  36. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

    Full description at Econpapers || Download paper

  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

    Full description at Econpapers || Download paper

  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

    Full description at Econpapers || Download paper

  39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

    Full description at Econpapers || Download paper

  40. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

    Full description at Econpapers || Download paper

  41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

    Full description at Econpapers || Download paper

  42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

  43. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

    Full description at Econpapers || Download paper

  44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

    Full description at Econpapers || Download paper

  45. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

    Full description at Econpapers || Download paper

  46. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

    Full description at Econpapers || Download paper

  47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

    Full description at Econpapers || Download paper

  48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

    Full description at Econpapers || Download paper

  49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

    Full description at Econpapers || Download paper

  50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 14:50:59 || 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.