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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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  1. Stock exchange volatility forecasting under market stress with MIDAS regression. (2023). Karan, Mehmet Baha ; Kors, Murat.
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  2. Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman.
    In: Economic Systems.
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  3. DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando.
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  4. Semi-Parametric Forecasting of Realized Volatility. (2011). Hurn, Stan ; Clements, Adam ; Becker, Ralf.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2011:i:3:n:1.

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  5. Measuring bond market liquidity: devising a composite aggregate liquidity score. (2010). Choudhry, Moorad .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:12:p:955-973.

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  6. Are combination forecasts of S&P 500 volatility statistically superior?. (2007). Clements, Adam ; Becker, Ralf.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2007-92.

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  7. The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. (2006). Mayoral, Laura ; Gadea, María.
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  8. Uncovering long memory in high frequency UK futures. (2005). cotter, john.
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  9. The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. (2005). Mayoral, Laura ; Gadea, María.
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  10. Uncovering Long Memory in High Frequency UK Futures. (2004). cotter, john.
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  11. Conditional covariances and direct central bank interventions in the foreign exchange markets. (2004). Beine, Michel.
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  12. A Range-Based GARCH Model for Forecasting Volatility. (2003). Mapa, Dennis.
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  13. Market Volatility As a Financial Soundness Indicator; An Application to Israel. (2003). Schumacher, Liliana B ; Morales, Armando Mendez.
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    RePEc:imf:imfwpa:2003/047.

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  14. Long Memory int the R$/US$ Exchange Rate: A Robust Analysis. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
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  15. The benefit of information reduction for trading strategies. (2002). Schittenkopf, Christian ; Dorffner, Georg .
    In: Applied Economics.
    RePEc:taf:applec:v:34:y:2002:i:7:p:917-930.

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  16. Dealer liquidity in an auction market: evidence fom the London Stock Exchange. (2002). Payne, Richard ; Friederich, Sylvain .
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  17. Dealer liquidity in an auction market: evidence fom the London Stock Exchange. (2002). Payne, Richard ; Friederich, Sylvain .
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  18. On measuring volatility and the GARCH forecasting performance. (2002). Renò, Roberto ; Barucci, Emilio ; Reno, Roberto.
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  19. A benchmark for measuring bias in estimated daily value at risk. (2002). Bollen, Bernard ; Moosa, Imad A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:1:p:85-100.

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  20. Volatility estimation on the basis of price intensities. (2002). Hautsch, Nikolaus ; Gerhard, Frank .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89.

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  21. Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. (2002). Christodoulakis, George ; Satchell, Stephen E..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370.

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  22. Modelling daily value-at-risk using realized volatility and arch type models. (2001). Laurent, Sébastien ; Giot, Pierre .
    In: Research Memorandum.
    RePEc:unm:umamet:2001014.

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  23. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:100:y:2001:i:1:p:41-51.

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  24. Properties of the sample autocorrelations in autoregressive stochastic volatllity models. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws011208.

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  25. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

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

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  28. Testing and Comparing Value-at-Risk Measures. (2001). Inoue, Atsushi ; Hahn, Jinyong ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-03.

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  29. Technical Analysis and Exchange Rate Dynamics. (2000). Schulmeister, Stephan.
    In: WIFO Studies.
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  30. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (2000). Koopman, Siem Jan ; Hol, Eugenie .
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  31. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. (2000). Lettau, Martin ; Campbell, John ; Malkiel, Burton G. ; Xu, Yexiao .
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  32. 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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  33. Quantifying fluctuations in economic systems by adapting methods of statistical physics. (2000). Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:3:p:339-361.

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  34. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

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  35. Why is it so Difficult to Find an Effect of Exchange Rate Risk on Trade?. (2000). Klaassen, Franc.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0133.

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  36. Forecasting returns and volatilities in GARCH processes using the bootstrap. (2000). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:10059.

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

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  38. 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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  39. 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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  40. 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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  41. Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?. (1999). Klaassen, F. J. G. M., ; Klaassen,F. J. G. M., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:a505c047-b2cf-4c2b-a7ea-8afcf6da30a2.

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  42. Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?. (1999). Klaassen, Franc ; Klaassen,F. J. G. M., ; Klaassen, F. J. G. M., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:a505c047-b2cf-4c2b-a7ea-8afcf6da30a2.

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  43. Dispersion and Volatility in Stock Returns: An Empirical Investigation. (1999). Lettau, Martin ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7144.

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  44. The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa. (1999). Kunst, Robert ; Jumah, Adusei.
    In: Economics Series.
    RePEc:ihs:ihsesp:73.

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  45. 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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  46. Forecasting Multifractal Volatility. (1999). Fisher, Adlai ; Calvet, Laurent.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-017.

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  47. Finite sample properties of a QML estimator of stochastic volatility models with long memory. (1999). Ruiz, Esther ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:6360.

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Cocites

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    In: CFS Working Paper Series.
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  2. The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility. (2007). TUYSUZ, Sukriye.
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  3. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
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  4. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
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  5. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  6. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  7. The impact of monetary policy signals on the intradaily Euro-dollar volatility.. (2006). Mokhtar, Darmoul .
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  8. Intraday Linkages Across International Equity Markets. (2006). Harju, Kari ; Hussain, Syed Mujahid.
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  10. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
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  11. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Luc, Bauwens ; Erick, RENGIFO ; Walid, BEN OMRANE.
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  12. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES. (2005). Matringe, Olivier ; Guida, Tony.
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  13. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
    In: Econometrics.
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  14. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH. (2005). Engle, Robert ; Chanda, Ananda ; Sokalska, Magdalena E..
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  15. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
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  16. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: NBER Working Papers.
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  17. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
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  18. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. (2004). Ito, Takatoshi ; Hashi, Yuko.
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  19. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan .
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  24. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
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  25. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
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  26. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
    In: Econometrics.
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  27. k -Factor GARMA models for intraday volatility forecasting. (2003). Lisi, Francesco ; Bisaglia, Luisa ; Bordignon, Silvano .
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  28. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
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  29. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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  30. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
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  31. Central bank talk: does it matter and why?. (2003). Sack, Brian P. ; Kohn, Donald L..
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  32. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
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  33. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
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  34. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
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  35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
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  36. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. (2001). Zhou, Hao ; Bollerslev, Tim.
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  37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
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  38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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  39. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
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  40. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
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  41. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
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  42. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
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  43. 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.
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  44. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
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  45. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
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  46. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
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  47. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: NBER Working Papers.
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  48. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. (1998). Bollerslev, Tim ; Das, Ashish ; Anderson, Torben G..
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  49. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
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  50. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
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