10 research outputs found
Rolling-sampled parameters of ARCH and Levy-stable models
- Author
- Alexandra Livada
- Andersen T
- Andersen T
- Andersen T
- Andersen TG
- Bachelier L
- Barndorff-Nielsen OE
- Berndt E
- Black F
- Bollerslev T
- Bradley B
- Campbell J
- Degiannakis S
- Degiannakis S
- Diebold FX
- Ebens H
- Engle RF
- Engle RF
- Epaminondas Panas
- Frey R
- Gallant AR
- Ghysels E
- Gourieroux C
- Hamilton JD
- Harvey AC
- Hol E
- Hoppe R
- Jacquier E
- Kon SJ
- Lambert P
- Li WK
- Mandelbrot B
- McDonald JB
- Palm F
- Rachev S
- Shephard N
- Shephard N
- Stavros Degiannakis
- Theodossiou P
- Publication venue
- 'Informa UK Limited'
- Publication date
- Field of study
Realized Volatility
- Author
- B Zhou
- BJ Blair
- D Foster
- DA Hsieh
- DD Thomakos
- E Ghysels
- F Comte
- G Zumbach
- GE Tauchen
- J Fleming
- J Hull
- J Jacod
- JM Harrison
- JM Maheu
- K Back
- KR French
- L Zhang
- M Britten-Jones
- M Martens
- M Scholes
- MM Dacorogna
- N Meddahi
- N Shephard
- NMPC Areal
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- P Carr
- P Protter
- PK Clark
- PR Hansen
- PR Hansen
- R Deo
- RC Merton
- RC Merton
- RF Engle
- RF Engle
- RN Mantegna
- RR Officer
- RT Peters
- S Pong
- SJ Taylor
- T Bollerslev
- T Bollerslev
- T Bollerslev
- T Bollerslev
- T Hayashi
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- UA Müller
- X Huang
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
A note on calculating expected shortfall for discrete time stochastic volatility models
- Author
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities
- Author
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2017
- Field of study
Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities
- Author
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2017
- Field of study
Volatility estimation using a rational GARCH model
- Author
- Aasi M
- Andersen TG Bollerslev T
- Barndorff-Nielsen OE Shephard N
- Bollerslev T
- de Forcrand P Takaishi T
- Engle RF
- Glosten LR Jagannathan R, Runkle DE
- Hansen PR Lunde A
- Hastings WK
- Metropolis N Rosenbluth AW, Rosenbluth MN, et al.
- Nelson DB
- Nuyts J Platten I
- Patton AJ
- Sentana E
- Spiegelhalter DJ Best NG, Carlin BP, et al.
- Takaishi T
- Takaishi T de Forcrand P
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2018
- Field of study
The memory of volatility
- Author
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andrews DWK Sun Y
- Arteche J
- Arteche J Orbe J
- Barndorff-Nielsen OE Hansen PR, Lunde A, et al.
- Barndorff-Nielsen OE Shephard N
- Chiriac R Voev V
- Deo RS Hurvich CM
- Deo RS Hurvich CM, Lu Y
- Diebold FX Inoue A
- Frederiksen P Nielsen FS, Nielsen M
- Geweke J Porter-Hudak S
- Gourieroux C Jasiak J
- Granger CWJ Ding Z
- Granger CWJ Hyung N
- Hou J Perron P
- Hurvich CM Moulines E, Soulier P
- Hurvich CM Ray BK
- Iacone F
- Leccadito A Rachedi O, Urga G
- Lu YK Perron P
- Martens M Dijk DV, de Pooter M
- McCloskey A Perron P
- Mikosch T Stărică C
- Perron P Qu Z
- Qu Z
- Velasco C
- Xu J Perron P
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2018
- Field of study
Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework
- Author
- A Doucet
- A Swishchuk
- Antonio A. F. Santos
- B Djegnéné
- B Maillet
- C Gourieroux
- C Gourieroux
- CG Lamoureux
- CW Granger
- D Creal
- E Jacquier
- G Kastner
- G Le Fol
- G Tauchen
- GB Durham
- GE Tauchen
- J Carpenter
- J Nakajima
- J Smith
- JR Stroud
- MK Pitt
- MK Pitt
- N Shephard
- N Shephard
- OE Barndorff-Nielsen
- PK Clark
- R Liesenfeld
- S Chib
- S Darolles
- S Darolles
- S Darolles
- S Kim
- S Malik
- SJ Taylor
- T Watanabe
- TG Andersen
- Y Omori
- Y Omori
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Stochastic Volatility
- Author
- A Ang
- A Ang
- A Buraschi
- A Melino
- AA Smith Jr
- AC Harvey
- AC Harvey
- AC Harvey
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Pedersen
- AW Lo
- B Dumas
- B Dupire
- B Eraker
- B Eraker
- B Eraker
- B Han
- B Mizrach
- B Mizrach
- C Gouriéroux
- C Gouriéroux
- CG Lamoureux
- CM Hurvich
- CS Jones
- CS Jones
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D McFadden
- D Yang
- DB Nelson
- DB Nelson
- DH Ahn
- DH Ahn
- DS Bates
- DS Bates
- DS Bates
- DS Bates
- DS Bates
- E Derman
- E Ghysels
- E Ghysels
- E Jacquier
- E Jacquier
- E Renault
- E Renault
- EM Stein
- F Black
- F Comte
- FA Longstaff
- FJ Breidt
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FX Diebold
- G Bakshi
- G Bakshi
- G Bakshi
- G Bakshi
- G Chacko
- G Duffee
- G Fiorentina
- G McQueen
- GE Tauchen
- GG Pennacchi
- GJ Jiang
- GJ Jiang
- GR Duffee
- GW Schwert
- GW Schwert
- H Johnson
- H Li
- J Danielsson
- J Danielsson
- J Duarte
- J Huang
- J Hull
- J Pan
- JB Wiggins
- JC Cox
- JC Cox
- JC Jackwerth
- JC Stein
- JD Coval
- JY Campbell
- JY Campbell
- JY Campbell
- K Back
- K Jacobs
- KC Chan
- KJ Singleton
- KJ Singleton
- KR French
- L Forsberg
- L Zhang
- LO Scott
- LR Glosten
- M Asai
- M Britten-Jones
- M Broadie
- M Carrasco
- M Carrasco
- M Chernov
- M Chernov
- M Fridman
- M Heidari
- M Ho
- M Parkinson
- M Piazzesi
- M Richardson
- M Rubinstein
- MB Garman
- MJ Fleming
- MK Pitt
- MS Bartlett
- MS Johannes
- MS Johannes
- MW Brandt
- MW Brandt
- MW Brandt
- MW Brandt
- N Meddahi
- N Shephard
- N Shephard
- ND Pearson
- NPB Bollen
- O Elerian
- OA Vasicek
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- P Balduzzi
- P Carr
- P Carr
- P Cheridito
- P Collin-Dufresne
- P Collin-Dufresne
- P Collin-Dufresne
- P Pasquariello
- P Protter
- PF Christoffersen
- PK Clark
- PR Hansen
- Q Dai
- Q Dai
- R Bansal
- R Deo
- R Fan
- R Jagannathan
- R Jarrow
- R Liesenfeld
- R Liesenfeld
- R Liesenfeld
- R Litterman
- RC Merton
- RC Merton
- RC Merton
- RC Merton
- RE Whaley
- RF Engle
- RF Engle
- RJ Shiller
- RR Chen
- S Alizadeh
- S Chib
- S Chib
- SJ Taylor
- SL Heston
- SN Kim
- T Ané
- T Bollerslev
- T Bollerslev
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Conley
- X Huang
- Y Aït-Sahalia
- Y Aït-Sahalia
- Y Aït-Sahalia
- Y Aït-Sahalia
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
Testing the Lag Structure of Assets’ Realized Volatility Dynamics
- Author
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Andersen TG Bollerslev T, Diebold FX, et al.
- Ang A Bekaert G
- Audrino F Knaus SD
- Barndorff-Nielsen OE Shephard N
- Bertram P Kruse R, Sibbertsen P
- Bollerslev T
- Bühlmann P Rütimann P, Geer SVD, et al.
- Campbell JY Yogo M
- Goetzmann WN Jorion P
- Hansen PR Lunde A
- Hillebrand E Medeiros MC
- Hwang E Shin D
- Kock AB
- Kock AB Callot LAF
- Kothari SP Shanken J
- Leeb H Pötscher BM
- McAleer M Medeiros MC
- Medeiros MC Mendes E
- Nelson CR Kim MJ
- Pötscher BM Schneider U
- Romano JP Wolf M
- Stambaugh RF
- Torous W Valkanov R, Yan S
- Wang SH Bauwens L, Hsiao C
- Zhang L Mykland PA, AÑ—t-Sahalia Y
- Zou H
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2017
- Field of study