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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.

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  4. Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub.
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  22. Agricultural policy and commodity price stabilisation in Ghana: The role of buffer stockholding operations. (2021). Asiedu, Kofi Fred ; Abokyi, Emmanuel.
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  25. Exchange Rate Volatility and Its Implications on Macroeconomic Variables in East African Countries. (2020). Kimolo, Deogratius ; Yabu, Nicas.
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  28. On the performance of volatility-managed portfolios. (2020). Yan, Xuemin ; Wang, Feifei ; Odoherty, Michael S ; Cederburg, Scott.
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  29. Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel.
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  33. Localizing Multivariate CAViaR. (2019). Xu, Xiu ; Hardle, Wolfgang Karl ; Klochkov, Yegor.
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  35. Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur.
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  37. The diminishing hedging role of crude oil: Evidence from time varying financialization. (2019). Sharma, Shahil ; Rodriguez, Ivan.
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  38. Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test. (2019). Leccadito, Arturo ; Algieri, Bernardina.
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  40. Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Shank, Corey A ; Dupoyet, Brice V.
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  44. Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P.
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  45. The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa .
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  46. Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur.
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  47. Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(. (2017). Chlebus, Marcin ; Buczyski, Mateusz.
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  48. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk. (2017). Chlebus, Marcin ; Marcin, Chlebus.
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  49. Heterogeneous Investor Behaviors and Market Volatility in the Tokyo Stock Exchange. (2017). Kimura, Yosuke ; Yosuke, Kimura .
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  51. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis .
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  52. Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro .
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  53. Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. (2016). Winker, Peter ; Blancofernandez, Angela .
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  56. Estimating multi-period Value at Risk of oil futures prices. (2016). Zhou, Chunyang ; He, Yingchen ; Diao, Xundi ; Qin, Xiao.
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  57. Inflation and inflation volatility in Thailand. (2016). Hossain, Akhand ; Arwatchanakarn, Popkarn .
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  59. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data. (2016). Degiannakis, Stavros ; Potamia, Artemis .
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  60. ZD-GARCH model: a new way to study heteroscedasticity. (2016). Zhu, Ke ; Li, Dong ; Ling, Shiqing.
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  61. Stock market returns and the price of gold. (2016). Caliskan, Deren ; Najand, Mohammad.
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  62. Risk and risk-based capital of U.S. bank holding companies. (2016). Hogan, Thomas ; Meredith, Neil R.
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  63. False discoveries in style timing of Chinese mutual funds. (2016). Yi, LI ; He, Lei.
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  76. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY. (2015). Galeano, Pedro ; Ausin, Concepcion M ; Virbickaite, Audrone.
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  79. Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica. (2014). Ruiz-Porras, Antonio ; Lorenzo-Valdes, Arturo .
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  82. Priced risk and asymmetric volatility in the cross section of skewness. (2014). Engle, Robert ; Mistry, Abhishek .
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Cocites

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    In: Papers.
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  2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
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  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 .
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  4. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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  5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor.
    In: NBER Working Papers.
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  6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
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  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.
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  8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata .
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  9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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  10. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
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  11. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
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  12. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
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  13. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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  14. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
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  15. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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  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.
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  17. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
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  18. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
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  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.
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  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.
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  21. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
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  22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
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  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.

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  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.
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  25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
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  26. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
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  27. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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  28. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
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  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.
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  30. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
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  31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

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  32. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
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  33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
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  34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
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  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
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  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.

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  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
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  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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

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

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  41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
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  42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
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  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.

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  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.
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  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.

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  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.

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  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.
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  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.

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  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.

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  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.

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