Nothing Special   »   [go: up one dir, main page]
create a website
Improving Markov switching models using realized variance. (2015). Maheu, John ; Liu, Jia.
In: MPRA Paper.
RePEc:pra:mprapa:71120.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 28

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. Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

    Full description at Econpapers || Download paper

  2. Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

    Full description at Econpapers || Download paper

  3. Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2016cf1019.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andersen, T. & Benzoni, L. (2009), Realized volatility, in ‘Handbook of Financial Time Series’, Springer.
    Paper not yet in RePEc: Add citation now

  2. Andersen, T. G., Bollerslev, T., Diebold, F. X. & Ebens, H. (2001), ‘The distribution of realized stock return volatility’, Journal of Financial Economics 61(1), 43–76.

  3. Ang, A. & Bekaert, G. (2002), ‘Regime Switches in Interest Rates’, Journal of Business & Economic Statistics 20(2), 163–82.

  4. Barndorff-Nielsen, O. E. & Shephard, N. (2002), ‘Estimating quadratic variation using realized variance’, Journal of Applied Econometrics 17, 457–477.

  5. Barndorff-Nielsen, O. E. & Shephard, N. (2004a), ‘Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics’, Econometrica 72(3), 885–925.

  6. Barndorff-Nielsen, O. E. & Shephard, N. (2004b), ‘Power and bipower variation with stochastic volatility and jumps’, Journal of Financial Econometrics 2, 1–48.

  7. Carpantier, J.-F. & Dufays, A. (2014), Specific markov-switching behaviour for arma parameters, CORE Discussion Papers 2014014, Universit catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  8. Chib, S. (1996), ‘Calculating posterior distributions and modal estimates in markov mixture models’, Journal of Econometrics 75(1), 79–97.

  9. Dueker, M. & Neely, C. J. (2007), ‘Can Markov switching models predict excess foreign exchange returns?’, Journal of Banking & Finance 31(2), 279–296.

  10. Dufays, A. (2012), Infinite-state Markov-switching for dynamic volatility and correlation models, CORE Discussion Papers 2012043, Universit catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  11. Engel, C. & Hamilton, J. D. (1990), ‘Long swings in the dollar: Are they in the data and do markets know it?’, American Economic Review 80, 689–713.

  12. Ferguson, T. S. (1973), ‘A Bayesian analysis of some nonparametric problems’, The Annals of Statistics 1(2), 209–230.
    Paper not yet in RePEc: Add citation now
  13. Gael, J. V., Saatci, Y., Teh, Y. W. & Ghahramani, Z. (2008), Beam sampling for the infinite hidden Markov model, in ‘In Proceedings of the 25th International Conference on Machine Learning’.
    Paper not yet in RePEc: Add citation now

  14. Guidolin, M. & Timmermann, A. (2008), ‘International asset allocation under regime switching, skew, and kurtosis preferences’, Review of Financial Studies 21(2), 889–935.

  15. Guidolin, M. & Timmermann, A. (2009), ‘Forecasts of US short-term interest rates: A flexible forecast combination approach’, Journal of Econometrics 150(2), 297–311.

  16. Hamilton, J. D. (1989), ‘A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle’, Econometrica 57(2), 357–84.

  17. Kim, C.-J., Morley, J. C. & Nelson, C. R. (2004), ‘Is there a positive relationship between stock market volatility and the equity premium?’, Journal of Money, Credit and Banking 36(3), pp. 339–360.

  18. Lunde, A. & Timmermann, A. G. (2004), ‘Duration dependence in stock prices: An analysis of bull and bear markets’, Journal of Business & Economic Statistics 22(3), 253–273.

  19. Maheu, J. M. & McCurdy, T. H. (2000), ‘Identifying bull and bear markets in stock returns’, Journal of Business & Economic Statistics 18(1), 100–112.

  20. Maheu, J. M. & Yang, Q. (2015), An Infinite Hidden Markov Model for Short-term Interest Rates, Working Paper Series 15-05, The Rimini Centre for Economic Analysis.

  21. Maheu, J. M., McCurdy, T. H. & Song, Y. (2012), ‘Components of bull and bear markets: Bull corrections and bear rallies’, Journal of Business & Economic Statistics 30(3), 391– 403.

  22. Pastor, L. & Stambaugh, R. F. (2001), ‘The Equity Premium and Structural Breaks’, Journal of Finance 56(4), 1207–1239.

  23. Schwert, G. W. (1990), ‘Indexes of u.s. stock prices from 1802 to 1987’, Journal of Business 63(3), 399–426.

  24. Song, Y. (2014), ‘Modelling regime switching and structural breaks with an infinite hidden Markov model’, Journal of Applied Econometrics 29(1), 825–842.

  25. Takahashi, M., Omori, Y. & Watanabe, T. (2009), ‘Estimating stochastic volatility models using daily returns and realized volatility simultaneously’, Computational Statistics & Data Analysis 53(6), 2404–2426.

  26. Teh, Y. W., Jordan, M. I., Beal, M. J. & Blei, D. M. (2006), ‘Hierarchical dirichlet processes’, Journal of the American Statistical Association 101(476), pp. 1566–1581.

  27. Walker, S. G. (2007), ‘Sampling the dirichlet mixture model with slices’, Communications in Statistics - Simulation and Computation 36(1), 45–54.
    Paper not yet in RePEc: Add citation now
  28. Zellner, A. (1971), An introduction to Bayesian inference in econometrics, John Wikey and Sons.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
    In: Papers.
    RePEc:arx:papers:1912.10343.

    Full description at Econpapers || Download paper

  2. 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

  3. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223.

    Full description at Econpapers || Download paper

  4. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Cheng, Ai-Ru ; Shimatani, Takeshi .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/19.

    Full description at Econpapers || Download paper

  5. 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

  6. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
    In: Working Papers.
    RePEc:siu:wpaper:15-2009.

    Full description at Econpapers || Download paper

  7. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000805.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  9. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction. (2006). Capasso, Marco ; Alessi, Lucia.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2006/13.

    Full description at Econpapers || Download paper

  10. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

    Full description at Econpapers || Download paper

  11. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Chaboud, Alain ; Howorka, Edward.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:862.

    Full description at Econpapers || Download paper

  12. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

  13. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

  14. Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power. (2004). Kočenda, Evžen ; Briatka, Lubos .
    In: Econometrics.
    RePEc:wpa:wuwpem:0409001.

    Full description at Econpapers || Download paper

  15. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

    Full description at Econpapers || Download paper

  16. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model. (2004). Medeiros, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:rio:texdis:486.

    Full description at Econpapers || Download paper

  17. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

  18. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

  19. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

    Full description at Econpapers || Download paper

  20. Option Implied and Realised Measures of Variance. (2004). Lynch, Damien ; Panigirtzoglou, Nikolaos .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:94.

    Full description at Econpapers || Download paper

  21. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-017.

    Full description at Econpapers || Download paper

  22. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

  23. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

  24. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

  25. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws046315.

    Full description at Econpapers || Download paper

  26. 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

  27. 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

  28. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

  29. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

  30. 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

  31. Exchange Rates, Equity Prices and Capital Flows. (2003). Rey, Helene ; Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3735.

    Full description at Econpapers || Download paper

  32. 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

  33. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

  34. 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

  35. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

  36. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Barndorff-Nielsen, Ole ; Ysusi, Carla .
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

    Full description at Econpapers || Download paper

  37. Exchange Rate, Equity Prices and Capital Flows. (2002). Rey, Helene ; Hau, Harald.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9398.

    Full description at Econpapers || Download paper

  38. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

    Full description at Econpapers || Download paper

  39. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

  40. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

    Full description at Econpapers || Download paper

  41. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). Downing, Chris ; Covitz, Dan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-45.

    Full description at Econpapers || Download paper

  42. 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

  43. 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

  44. Local Whittle Analysis of Stationary Fractional Cointegration. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-8.

    Full description at Econpapers || Download paper

  45. 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

  46. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

  47. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

    Full description at Econpapers || Download paper

  48. 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

  49. 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

  50. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data. (2001). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-4.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-20 23:24:42 || 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.