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Bollerslev, Tim Peter
Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES)
Andersen, Torben G
Andersen, Torben G.
Andersen, Torben Gustav
Anderson, Torben G.
Baillie, Richard T
Baillie, Richard T.
Chou, Ray Y.
Christensen, Bent Jesper
Christoffersen, Peter F.
Diebold, Francis X.
Diebold, Francis X. (1959-)
Duke University / Department of Economics
Engle, Robert F
Engle, Robert F.
Francis X. Diebold
Frederiksen, Per Houmann
G, Andersen T.
Hodrick, Robert J.
Kroner, Kenneth F.
Law, Tzuo Hann
Mikkelsen, Hans Ole
National Bureau of Economic Research (NBER)
Nelson, Daniel B.
Ole Mikkelsen, Hans
Redfearn, Michael R.
Rossi, Peter E
Russell, Jeffrey R.
University of California, San Diego
Watson, Mark W.
Wooldridge, Jeffrey M
Wooldridge, Jeffrey M.
Wright, Jonathan H.
X, Diebold F.
Zhang, Benjamin Y. B.
Zhou, Hao (1967-)
Analytic Evaluation of Volatility Forecasts
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
Answering the critics : yes, arch models do provide good volatility forecasts
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.
ARCH modeling in finance : A review of the theory and empirical evidence
Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange.
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
Capital Asset Pricing Model with Time-Varying Covariances., A
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.
Common Persistence in Conditional Variances.
Common Stochastic Trends in a System of Exchange Rates.
Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return., A
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities .
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
Dan Nelson Remembered.
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, A
Distribution of Realized Exchange Rate Volatility, The
distribution of realized stock return volatility, The
DM-dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies.
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Estimation of Jump Tails
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Expected stock returns and variance risk premia
Financial econometrics : Past developments and future challenges
Financial market efficiency tests
Financial Risk Measurement for Financial Risk Management
Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
forward premium anomaly is not as bad as you think, The
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Framework for Exploring the Macroeconomic Determinants of Systematic Risk, A
FURTHER RESULTS ON UNIT ROOTS AND THE COINTEGRABILITY OF DAILY SPOT AND FORWARD EXCHANGE RATES
Generalized autoregressive conditional heteroskedasticity with applications in finance
Glossary to ARCH (GARCH)
Heterogeneous information arrivals and return volatility dynamics uncovering the long-run in high frequency returns
High frequency data, frequency domain inference and volatility forecasting
Intra-day and Inter-market Volatility in Foreign Exchange Rates.
Intraday and interday volatility in the Japanese stock market
Intraday periodicity and volatility persistence in financial markets
Investor Attention and Time-varying Comovements
Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
Jumps and betas: A new framework for disentangling and estimating systematic risks
Leverage and Volatility Feedback Effects in High-Frequency Data
Long Memory of the Foreward Premium., The
long memory of the forward premium, The
Long-term equity anticipation securities and stock market volatility dynamics
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Message in Daily Exchange Rates: A Conditional-Variance Tale., The
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?
modéles ARCH en finance, Les : un point sur la théorie et les résultats empiriques
Modeling and Forecasting Realized Volatility
Modeling and pricing long memory in stock market volatility
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, A
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
Note on the Relation between Consumers' Expenditure and Income in the United Kingdom., A
On Periodic Autogressive Conditional Heteroskedasticity
Order flow and the bid-ask spread: An empirical probability model of screen-based trading
Parametric and non-parametric volatility measurement
Parametric and Nonparametric Volatility Measurement
Periodic Autoregressive Conditional Heteroscedasticity.
Periodic autoregressive conditional heteroskedasticity
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editorsâ€™ Introduction
Practical Volatility and Correlation Modeling for Financial Market Risk Management
Prediction in dynamic models with time-dependent conditional variances
Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances
Real-time price discovery in global stock, bond and foreign exchange markets
Realized Beta: Persistence and Predictability
Realized volatility forecasting and market microstructure noise
reduced form framework for modeling volatility of speculative prices based on realized variation measures, A
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Risk, jumps, and diversification
Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Stock return predictability and variance risk premia: statistical inference and international evidence
Stock returns and volatility: pricing the long-run and short-run components of market risk
Tails, Fears, and Risk Premia
Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Trading Patterns and Prices in the Interbank Foreign Exchange Market.
(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation
Volatility and Correlation Forecasting
Volatility and time series econometrics : essays in honor of Robert F. Engle
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Volatility puzzles: a simple framework for gauging return-volatility regressions
Volatility puzzles: a unified framework for gauging return-volatility regressions
Contributed to or performed:
JOURNAL OF ECONOMETRICS
Thesis (Ph. D.)--University of California, San Diego, 1986