Nothing Special   »   [go: up one dir, main page]

create a website
Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2006). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond .
In: RePAd Working Paper Series.
RePEc:pqs:wpaper:152006.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 30

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, 1998, Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review 39 (4), 885-905.

  2. Andersen, T.G., Bollerslev, T. and S., Lange, 1999, Forecasting financial market volatility: sampling frequency vis-à-vis forecast horizon, Journal of Empirical Finance 6, 457-477.

  3. Andersen, T.G., Bollerslev, T., Diebold, F.X. and P. Labys, 2001, The distribution of realized exchange rate volatility, Journal of the American Statistical Association 96, 42-55.

  4. Barndorff-Nielsen, O. et N. Shephard, 2002b, Estimating quadratic variation using realized variance, Journal of Applied econometrics, 17, 457-477.

  5. Barndorff-Nielsen, O. et N. Shephard., 2002a, Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, 64, 253-280.

  6. Barndorff-Nielsen, O.E. and N. Shephard, 2001, Non-gausian Ornstein-Uhlenbeck models and their uses in financial economics, Journal of the American Statistical Association 96.
    Paper not yet in RePEc: Add citation now
  7. Bollerslev, T. and B. Zhang, 2003, Measuring and modeling systematic risk in factor pricing models using high frequency data, Journal of Empirical Finance 10, 533-558.

  8. Bollerslev, T. and J. Wooldrige, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances, Econometric Reviews 11, 143-172.
    Paper not yet in RePEc: Add citation now
  9. Bollerslev, T. and J.H. Wright, 2001, High-frequency data, frequency domain inference, and volatility forecasting, Review of Economics and Statistics 83(4), 596-602.

  10. Breidt, F.J. and A.L., Carriquiry, 1996, Improved quasi-maximum likelihood estimators for stochastic volatility models, in A. Zellner, Lee, J. S. (Eds.), Modeling and Prediction: Honoring Seymour Geisel. Springer-Verlag, New York.

  11. Dacorogna, M.M., Gençay, R., Müller, U., Olsen, R.B. and O.V. Pictet, 2001, An Introduction to high-Frequency Finance, Academic Press, San Diego.

  12. Donaldson, R.G. and M. Kamstra, 1997, An artificial neural network-GARCH model for international stock return volatility, Journal of Empirical Finance 4, 17-46.

  13. Easley, D. and M. O’Hara, 1992, Time and the process of security price adjustment, Journal of Finance 47, 905-927.

  14. Engle, R.F. 2000, The econometrics of ultra-high-frequency data, Econometrica 68(1), 122.

  15. Engle, R.F. and J.R. Russel, 1998, Autoregressive conditional duration: a new model for irregularly spaced transaction data, Econometrica 66 (5), 1127-1162.

  16. F.E. Racicot and A. Coën, 2004, Integrated volatility and UHF-GACH models : A comparison using high frequency financial data, Proceedings of the Global Finance Conference (GFC), Las Vegas, Nevada, USA.
    Paper not yet in RePEc: Add citation now
  17. Fuller, W.A., 1996, Introduction to Statistical Time Series, Wiley, New York.
    Paper not yet in RePEc: Add citation now
  18. Gosier, K., Madhavan, A., Serbin V. and J. Yang, 2005, Toward Better Risk Forecats : Using data with higher frequency than the forecasting horizon, The Journal of Portfolio Management, Spring 2005.
    Paper not yet in RePEc: Add citation now
  19. Gouriéroux, C. and J. Jasiak, 2001, Durations in a Companion to Theoretical Econometrics, chap. 21, Blackwell, Massachusetts.
    Paper not yet in RePEc: Add citation now
  20. Gouriéroux, C. and J. Jasiak, 2001, Financial Econometrics, Princeton Series in Finance, Princeton University Press, Princeton.
    Paper not yet in RePEc: Add citation now
  21. Gouriéroux, C., Jasiak, J. and G. Le Fol, 1999, Intra-day market activity, Journal of Financial Markets 2 (3), 193-206.

  22. Martens, M. , 2002, Measuring and forecasting S&P 500 index-futures volatility using high-frequency data, Journal of Futures Markets 22(6), 497-518.
    Paper not yet in RePEc: Add citation now
  23. Meddahi, N., 2002, A theoretical comparison between integrated and realized volatility, Journal of Applied Econometrics, 17, 479-508.

  24. Meddahi, N., 2003, ARMA representation of integrated and realized variances, Econometrics Journal, 6, 334-355.

  25. Mills, T.C., 1990, Time Series Techniques for Economist, Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  26. Mills, T.C., 1999, The Econometric Modeling of Financial Time Series, Second Edition, Cambridge University Press, Cambridge.
    Paper not yet in RePEc: Add citation now
  27. Mincer, J. and V. Zarnowitz, 1969, The evaluation of economic forecasts, in J. Mincer (Ed.), Economic Forecasts and Expectations, 3-46, NBER, Cambridge.

  28. Racicot, F.E. and R. Théoret, 2001, Traité d’économétrie financière : modélisation financière, Presses de l’Université du Québec (PUQ), Ste-Foy, Québec.
    Paper not yet in RePEc: Add citation now
  29. Racicot, F.E., 2003, Classical and Advanced Nonlinear Models in Empirical Finance in Trois essais sur l’analyse des données économiques et financière, Ph.D. thesis, ESGUQAM.
    Paper not yet in RePEc: Add citation now
  30. Tsay, R.S., 2005, Analysis of Financial Time Series, Second Edition, Wiley Series in Probability and Statistics.
    Paper not yet in RePEc: Add citation now

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: 2024-11-27 21:02:32 || 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.