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Aggregation and model construction for volatility models. (1998). Shephard, Neil ; Barndorff-Nielsen, Ole E..
In: Economics Series Working Papers.
RePEc:oxf:wpaper:1998-w07.

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Cited: 19

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Cites: 59

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  1. Factor Models as Explanatory Unifiers versus Explanatory Ideals of Empirical Regularities of Stock Returns. (2015). Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas ; Samartzis, Panagiotis.
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  2. Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas. (2014). Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas ; Samartzis, Panagiotis.
    In: DEOS Working Papers.
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  3. Rolling-sampled parameters of ARCH and Levy-stable models. (2008). Degiannakis, Stavros ; Livada, Alexandra ; Panas, Epaminondas .
    In: Applied Economics.
    RePEc:taf:applec:v:40:y:2008:i:23:p:3051-3067.

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  4. Relative volume as a doubly stochastic binomial point process. (2007). McCulloch, James.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:7:y:2007:i:1:p:55-62.

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  5. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. (2007). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:149-171.

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  6. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models. (2007). Degiannakis, Stavros ; Xekalaki, Evdokia.
    In: MPRA Paper.
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  7. Intra-Day Features of Realized Volatility: Evidence from an Emerging Market. (2002). Stengos, Thanasis ; SaltoÄŸlu, Burak ; Kayahan, Burc ; Saltoglu, Burak .
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:1:y:2002:i:1:p:17-24.

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

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  9. 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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  10. 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.

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  11. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-08.

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  12. 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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  13. Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times. (1999). Runggaldier, Wolfgang J. ; Frey, Rudiger.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:50:y:1999:i:2:p:339-350.

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  14. A modelling framework for the prices and times of trades made on the New York stock exchange. (1999). Shephard, Neil ; Rydberg, Tina Hviid .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:1999-w14.

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  15. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6961.

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  16. 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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  17. 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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  18. Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas. (). Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas ; Samartzis, Panagiotis.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:1318.

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  39. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
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  40. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
    RePEc:cte:dsrepe:ds010101.

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  41. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-27.

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  42. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7933.

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  43. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:685.

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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.
    RePEc:ecm:wc2000:0843.

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  45. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

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  46. What a Difference a Day Makes: On the Common Market Microstructure of Trading Days. (1999). Pohlmeier, Winfried ; Hess, Dieter ; Gerhard, Frank .
    In: Finance.
    RePEc:wpa:wuwpfi:9904006.

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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.
    RePEc:wop:pennin:00-28.

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  48. 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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  49. How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6844.

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  50. How Relevant is Volatility Forecasting for Financial Risk Management?. (1997). Diebold, Francis ; Christoffersen, Peter.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-45.

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