Nothing Special   »   [go: up one dir, main page]
create a website
TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT. (2005). Suardi, Sandy ; Henry, Ólan.
In: Department of Economics - Working Papers Series.
RePEc:mlb:wpaper:945.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 13

References cited by this document

Cocites: 55

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics. (2005). Suardi, Sandy ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:941.

    Full description at Econpapers || Download paper

  2. Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics. (). Suardi, Sandy ; Olekalns, Nilss ; Henry, Ólan.
    In: MRG Discussion Paper Series.
    RePEc:qld:uqmrg6:02.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Bali, Turan G. (2000a), Modeling the conditional mean and variance of the short rate using diffusion, GARCH and moving average models, Journal of Futures Markets, 20, 717-751.

  2. [10] Glosten, Lawrence R., R. Jagannathan, and D.E. Runkle (1993), On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48(5), 1779-1801.

  3. [11] Henry, Ólan T.(1998), Modelling the asymmetry of stock market volatility, Applied Financial Economics, 8, 145-153.

  4. [12] Kroner, Kenneth F and V.K. Ng (1998), Modeling asymmetric comovements of asset returns, Review of Financial Studies, 11, 817-44.

  5. [13] Vasicek, O. (1977), An equilibrium characterization of the term structure , Journal of Financial Economics, 5(2), 177-188.

  6. [2] Bali, Turan G. (2000b), Testing the empirial performance of stochastic volatility models of the short-term interest rate, Journal of Financial and Quantitative Analysis, 35, 191-215.

  7. [3] Bekaert, Geert, Robert J. Hodrick, and David A. Marshall (2001), Peso Problem Explanations for Term Structure Anomalies, Journal of Monetary Economics, 48, 241-270.

  8. [4] Brenner R.J., R.H. Harjes, and K.F. Kroner (1996), Another look at models of the short-term interest rate, Journal of Financial and Quantitative Analysis, 31, 85-107.

  9. [5] Brooks, C. and Ó. T. Henry (2000), Can portmanteau nonlinearity tests serve as general misspecification tests? Evidence from symmetric and asymmetric GARCH models, Economics Letters, 67, 245-251.

  10. [6] Brooks, C. and Ó. T. Henry (2002) The impact of news on measures of undiversifiable risk: Evidence from the UK stock market, Oxford Bulletin of Economics and Statistics 64, 487-507.

  11. [7] Chan, K.C., G.A. Karolyi, F.A. Longstaff, and A.B. Sanders (1992), An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, 47, 1209-1227.

  12. [8] Cox, John C., J.E. Ingersoll and S.A. Ross (1985), A theory of the term structure of interest rates, Econometrica, 53, 385-407.

  13. [9] Engle, R.F. and V. K. Ng (1993), Measuring and testing the impact of news and volatility, Journal of Finance, 48, 1749-1778.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Forecasting stock index volatility with GARCH models: international evidence. (2015). Sharma, Prateek ; Vipul, .
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:v:32:y:2015:i:4:p:445-463.

    Full description at Econpapers || Download paper

  2. Forecasting copper futures volatility under model uncertainty. (2015). Li, Yong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176.

    Full description at Econpapers || Download paper

  3. 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

  4. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, P..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0808.

    Full description at Econpapers || Download paper

  5. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2007). Wu, Shu.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:2-3:p:423-442.

    Full description at Econpapers || Download paper

  6. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12690.

    Full description at Econpapers || Download paper

  7. ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts. (2005). Lahiri, Kajal ; Liu, Fushang .
    In: MPRA Paper.
    RePEc:pra:mprapa:21693.

    Full description at Econpapers || Download paper

  8. TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT. (2005). Suardi, Sandy ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:945.

    Full description at Econpapers || Download paper

  9. Time-varying Correlations of Russian and U.S. Equity Returns. (2004). Jithendranathan, Thadavillil.
    In: International Finance.
    RePEc:wpa:wuwpif:0403006.

    Full description at Econpapers || Download paper

  10. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0403002.

    Full description at Econpapers || Download paper

  11. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2004-656.

    Full description at Econpapers || Download paper

  12. The Euro and European Financial Market Integration. (2004). Bartram, Söhnke ; Taylor, Stephen ; Wang, Yaw-Huei.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:49.

    Full description at Econpapers || Download paper

  13. Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE. (2004). Sin, Chor-Yiu .
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:476.

    Full description at Econpapers || Download paper

  14. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model. (2004). Gau, Yin-Feng ; Tang, Wei-Ting.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:715.

    Full description at Econpapers || Download paper

  15. Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness. (2004). Tay, Anthony S ; Hashmi, Aamir.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:634.

    Full description at Econpapers || Download paper

  16. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

    Full description at Econpapers || Download paper

  17. 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

  18. Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market. (2003). Islam, Anisul ; Hassan, M. Kabir ; Basher, Syed.
    In: Finance.
    RePEc:wpa:wuwpfi:0310015.

    Full description at Econpapers || Download paper

  19. Comovement in international equity markets: A sectoral view. (2003). Jansen, W. Jos ; Berben, Robert-Paul.
    In: Finance.
    RePEc:wpa:wuwpfi:0310001.

    Full description at Econpapers || Download paper

  20. Market Integration and Contagion. (2003). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9510.

    Full description at Econpapers || Download paper

  21. On the pervasive effects of Federal Reserve settlement regulations. (2003). Winters, Drew B. ; Griffiths, Mark D. ; Cyree, Ken B..
    In: Review.
    RePEc:fip:fedlrv:y:2003:i:mar:p:27-46:n:v.85no.2.

    Full description at Econpapers || Download paper

  22. Contagion: an empirical test. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:775.

    Full description at Econpapers || Download paper

  23. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

    Full description at Econpapers || Download paper

  24. Choosing the best volatility models: the model confidence set approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-28.

    Full description at Econpapers || Download paper

  25. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

    Full description at Econpapers || Download paper

  26. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

    Full description at Econpapers || Download paper

  27. The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets. (2002). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0209001.

    Full description at Econpapers || Download paper

  28. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689.

    Full description at Econpapers || Download paper

  29. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off. (2002). Perron, Benoit.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-88.

    Full description at Econpapers || Download paper

  30. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

  31. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
    In: Working Papers.
    RePEc:bro:econwp:2002-26.

    Full description at Econpapers || Download paper

  32. An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth. (2002). Vitek, Francis.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-39.

    Full description at Econpapers || Download paper

  33. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

    Full description at Econpapers || Download paper

  34. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield. (2001). Shanken, Jay ; Tamayo, Ane.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8666.

    Full description at Econpapers || Download paper

  35. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8566.

    Full description at Econpapers || Download paper

  36. Stock Return Predictability: Is it There?. (2001). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8207.

    Full description at Econpapers || Download paper

  37. Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns. (2001). Marrocu, Emanuela ; Boero, Gianna.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:200110.

    Full description at Econpapers || Download paper

  38. Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices. (2000). Stein, Jeremy ; Hong, Harrison ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7687.

    Full description at Econpapers || Download paper

  39. Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.. (2000). Berg, Lennart.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2000_009.

    Full description at Econpapers || Download paper

  40. Is There a Structural Break in the Equity Premium?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0024.

    Full description at Econpapers || Download paper

  41. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  42. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off. (2000). Perron, Benoit.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1576.

    Full description at Econpapers || Download paper

  43. Evidence on the Economics of Equity Return Volatility Clustering. (2000). Connolly, Robert ; Stivers, Christopher T..
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1575.

    Full description at Econpapers || Download paper

  44. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. (2000). Timmermann, Allan ; Lunde, Asger.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1216.

    Full description at Econpapers || Download paper

  45. 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

  46. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?. (2000). Morley, James.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0915.

    Full description at Econpapers || Download paper

  47. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

    Full description at Econpapers || Download paper

  48. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-027.

    Full description at Econpapers || Download paper

  49. Expected stock returns and volatility in a production economy: a theory and some evidence. (1999). Singal, Padamja ; Smith, Stephen D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-8.

    Full description at Econpapers || Download paper

  50. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  51. Asymmetric Volatility and Risk in Equity Markets. (1997). Wu, Guojun ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6022.

    Full description at Econpapers || Download paper

  52. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:9612007.

    Full description at Econpapers || Download paper

  53. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

  54. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Angel León, ; Rubio, Gonzalo.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

    Full description at Econpapers || Download paper

  55. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-26 00:43:22 || 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.