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Citations of
Peter F. Christoffersen

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Working papers

  1. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

  2. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]

    Cited by:

    1. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    2. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]

  3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:

    Cited by:

    1. Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO. [Downloadable!]
      Other versions:
    2. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
      Other versions:
    3. Courtenay, Roger & Clare, Andrew, 2001. "What can we learn about monetary policy transparency from financial market data?," Discussion Paper Series 1: Economic Studies 2001,06, Deutsche Bundesbank, Research Centre. [Downloadable!]
    4. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    5. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers ws062509, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    6. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March. [Downloadable!] (restricted)
    7. SUCARRAT, Genaro, 2006. "The first stage in HendryÕs reduction theory revisited," CORE Discussion Papers 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    8. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    9. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    10. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 251-254, March. [Downloadable!] (restricted)
    12. Genaro, SUCARRAT, 2006. "The First Stage in HendryÕs Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    13. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    14. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany. [Downloadable!]
    15. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 199-226, September. [Downloadable!] (restricted)
    16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May. [Downloadable!]
      Other versions:
    17. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    18. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
      Other versions:
    19. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Andrew Clare & Roger Courtenay, . "Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes," Bank of England working papers 125, Bank of England. [Downloadable!]
    21. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
      Other versions:
    22. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    23. Ariño, Miguel A. & Canela, Miguel A., 2006. "Study of the dollar-euro exchange rate," IESE Research Papers D/620, IESE Business School, revised 30 Mar 2006. [Downloadable!]
    24. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]
    25. Dagfinn Rime & Genaro Sucarrat, 2007. "Exchange rate variability, market activity and heterogeneity," Economics Working Papers we077039, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    26. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  4. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
    Other versions:

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    3. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
    4. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    5. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    6. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    7. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]

  5. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," CFS Working Paper Series 2005/04, Center for Financial Studies. [Downloadable!]
      Other versions:
    4. Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting 187, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
      Other versions:
    5. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany. [Downloadable!]
    6. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    7. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility
      ," Working Papers 07-20, Bank of Canada. [Downloadable!]

  6. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics. [Downloadable!]
    2. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre. [Downloadable!]
    3. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO. [Downloadable!]
      Other versions:
    4. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    6. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]

  7. Peter Christoffersen & Stefano Mazzotta, 2004. "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers 2004s-16, CIRANO. [Downloadable!]
    Other versions:

    Cited by:

    1. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:

  8. Peter Christoffersen & Sílvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO. [Downloadable!]

    Cited by:

    1. Luc, BAUWENS & G., STORTI, 2007. "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques) 2007012, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    2. Christoph Hartz & Stefan Mittnik & Marc S. Paolella, 2006. "Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model," CFS Working Paper Series 2006/23, Center for Financial Studies. [Downloadable!]
    3. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
      Other versions:
    5. Boudt, Kris & Peterson, Brian & Croux, Christophe, 2007. "Estimation and decomposition of downside risk for portfolios with non-normal returns," MPRA Paper 5427, University Library of Munich, Germany, revised 23 Oct 2007. [Downloadable!]

  9. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany. [Downloadable!]
    3. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
    4. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    5. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    6. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
      Other versions:

  10. Peter Christoffersen & Hyunchul Chung & Vihang Errunza, 2003. "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," CIRANO Working Papers 2003s-13, CIRANO. [Downloadable!]

    Cited by:

    1. Tomas Dvorak & Richard Podpiera, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 552, European Central Bank. [Downloadable!]
      Other versions:

  11. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2005. "Loss Functions in Option Valuation: A Framework for Model Selection," CEPR Discussion Papers 4960, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre. [Downloadable!]
    3. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    4. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March. [Downloadable!] (restricted)
    6. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society. [Downloadable!]
      Other versions:
    7. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics. [Downloadable!]
    8. Silvia Goncalves & Massimo Guidolin, 2005. "Predictable dynamics in the S&P 500 index options implied volatility surface," Working Papers 2005-010, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    9. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    11. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York. [Downloadable!]
    12. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, School of Economics and Management, University of Aarhus. [Downloadable!]

  12. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Documents de Travail 223, Banque de France. [Downloadable!]
      Other versions:
    2. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]
      Other versions:
    3. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society. [Downloadable!]
    4. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO. [Downloadable!]
      Other versions:
    6. Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus. [Downloadable!]
    8. Markku Lanne & Pentti Saikkonen, 2005. "Modeling Conditional Skewness in Stock Returns," Economics Working Papers ECO2005/14, European University Institute. [Downloadable!]
      Other versions:
    9. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    10. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]

  13. Peter F. Christoffersen & Francis X. Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers 10009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Gilbert W. Bassett Jr & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    2. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    3. Pedro N. Rodríguez, & Simón Sosvilla-Rivero, 2006. "Forecasting Stock Price Changes: Is it Possible?," Working Papers 2006-22, FEDEA. [Downloadable!]
    4. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    5. Bekiros, S. & Georgoutsos, D., 2006. "Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network," CeNDEF Working Papers 06-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    6. Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Anthony S. Tay & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," PIER Working Paper Archive 06-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    7. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    8. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]

  14. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]

    Cited by:

    1. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
      Other versions:
    2. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO. [Downloadable!]
      Other versions:
    3. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 149-171, January. [Downloadable!] (restricted)
    4. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics. [Downloadable!]
    5. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, School of Economics and Management, University of Aarhus. [Downloadable!]

  15. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]

    Cited by:

    1. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series /2003/463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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    2. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]

  16. Peter Christoffersen & Kris Jacobs, 2001. "The Importance of the Loss Function in Option Pricing," CIRANO Working Papers 2001s-45, CIRANO. [Downloadable!]

    Cited by:

    1. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics. [Downloadable!]
    2. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    3. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]
    4. Bruce Mizrach, 2006. "The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 365-382, December. [Downloadable!] (restricted)
    5. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO. [Downloadable!]

  17. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
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    2. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    3. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
      Other versions:
    4. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge. [Downloadable!]
    5. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    6. Kerkhof, J. & Melenberg, B., 2002. "Backtesting for risk-based regulatory capital," Discussion Paper 110, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    7. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]
    8. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO. [Downloadable!]
    9. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    10. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research Department. [Downloadable!]
    11. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    12. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
    13. Kerkhof, J. & Melenberg, B. & Schumacher, H., 2003. "Testing expected shortfall models for derivative positions," Discussion Paper 24, Tilburg University, Center for Economic Research. [Downloadable!]

  18. Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real" about Using Economic Data," CIRANO Working Papers 2001s-44, CIRANO. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Ngo Van Long & Koji Shimomura, 2002. "Relative Wealth, Status Seeking, and Catching Up," CIRANO Working Papers 2002s-09, CIRANO. [Downloadable!]
      Other versions:
    2. Wolfgang Eggert & Laszlo Goerke, . "Fiscal Policy, Economic Integration and Unemployment," EPRU Working Paper Series 02-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    3. Bernard Sinclair-Desgagné, 2001. "Incentives in Common Agency," CIRANO Working Papers 2001s-66, CIRANO. [Downloadable!]
      Other versions:
    4. Wolfgang Eggert & Martin Kolmar, . "Contests with Size Effects," EPRU Working Paper Series 02-04, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    5. Julie Doonan & Paul Lanoie & Benoit Laplante, 2002. "Environmental Performance of Canadian Pulp and Paper Plants: Why Some Do Well and Others Do Not ?," CIRANO Working Papers 2002s-24, CIRANO. [Downloadable!]
    6. Richard Lajeunesse & Paul Lanoie & Michel Patry, 2001. "Environmental Regulation and Productivity: New Findings on the Porter Analysis," CIRANO Working Papers 2001s-53, CIRANO. [Downloadable!]
    7. John Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001. "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers 2001s-61, CIRANO. [Downloadable!]
    8. Richard G. Anderson, 2006. "Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 81-93. [Downloadable!]
    9. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
    10. Wolfgang Eggert & Martin Kolmar, . "Information Sharing, Multiple Nash Equilibria, and Asymmetric Capital-Tax Competition," EPRU Working Paper Series 02-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
    11. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  19. Torsten Sløk & Peter F. Christoffersen, 2000. "Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?," IMF Working Papers 00/103, International Monetary Fund.

    Cited by:

    1. Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, EconWPA. [Downloadable!]
      Other versions:
    2. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 18(2), pages 33-66, December. [Downloadable!]
    3. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland. [Downloadable!]
    4. Norbert Funke, 2003. "Stock Market Developments and Private Consumer Spending in Emerging Markets," IMF Working Papers 02/238, International Monetary Fund. [Downloadable!]
    5. Bernd Hayo & Ali Kutan, 2002. "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance 0209001, EconWPA. [Downloadable!]

  20. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 1999. "Testing, Comparing, and Combining Value at Risk Measures," Center for Financial Institutions Working Papers 99-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]

    Cited by:

    1. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany. [Downloadable!]
    2. Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    3. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]

  21. Lorenzo Giorgiani & Peter F. Christoffersen, 1999. "Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk," IMF Working Papers 99/16, International Monetary Fund.
    Published as:

    Cited by:

    1. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute. [Downloadable!]
      Other versions:
    2. Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute. [Downloadable!]
    3. C. Trenkler, . "The Polish Crawling Peg System: A Cointegration Analysis," Sonderforschungsbereich 373 2000-71, Humboldt Universitaet Berlin.
    4. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January. [Downloadable!] (restricted)
      Other versions:

  22. Robert F. Westcott & Peter F. Christoffersen, 1999. "Is Poland Ready for Inflation Targeting?," IMF Working Papers 99/41, International Monetary Fund.

    Cited by:

    1. Michal Brzoza-Brzezina, 2004. "The Information Content of the Natural Rate of Interest: The Case of Poland," Macroeconomics 0402007, EconWPA. [Downloadable!]
    2. Pelin Berkmen, 2002. "Measuring Core Inflation for Turkey - Trimmed Means Approach," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 1-18. [Downloadable!]
    3. Lucjan T Orlowski, 2005. "Money Rules For The Eurozone Candidate Countries," Macroeconomics 0501033, EconWPA. [Downloadable!]
    4. Buiter, Willem H & Grafe, Clemens, 2002. "Anchor, Float or Abandon Ship: Exchange Rate Regimes for Accession Countries," CEPR Discussion Papers 3184, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Peter Backé & Jarko Fidrmuc & Thomas Reininger & Franz Schardax, 2002. "Price Dynamics in Central and Eastern European EU Accession Countries," Working Papers 61, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    6. Anca Tanasie & Cosmin Fratostiteanu, 2008. "Forecasting inflation and its determinants," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(10), pages 110-116, April. [Downloadable!]
    7. Lucio Vinhas de Souza, 2002. "Integrated monetary and exchange rate frameworks: are there empirical differences?," Bank of Estonia Working Papers 2002-2, Bank of Estonia, revised 12 Oct 2002. [Downloadable!]
    8. Koskinen, Juha-Pekka & Koivu, Tuuli & Chowdhury, Abdur, 2004. "Selecting inflation indicators under an inflation targeting regime: evidence from the MCL method," BOFIT Discussion Papers 16/2004, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    9. Gabriel Sterne, 2001. "Inflation Targets in a Global Context," Working Papers Central Bank of Chile 114, Central Bank of Chile. [Downloadable!]
    10. Lucjan T Orlowski, 2005. "Monetary Policy Adjustments on the Final Passage towards the Euro," Macroeconomics 0503022, EconWPA. [Downloadable!]
    11. Lúcio Vinhas de Souza, 2002. "Integrated Monetary and Exchange Rate Frameworks," Tinbergen Institute Discussion Papers 02-054/2, Tinbergen Institute. [Downloadable!]
    12. Lucjan T Orlowski, 2005. "A Dynamic Approach to Inflation Targeting in Transition Economies," Macroeconomics 0501038, EconWPA. [Downloadable!]

  23. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," NBER Working Papers 6844, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
      Other versions:
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    4. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446. [Downloadable!]
    5. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    6. Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    7. Philippe Jorion, 2005. "Bank Trading Risk and Systemic Risk," NBER Working Papers 11037, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456. [Downloadable!]
    9. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    10. Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annales d'Economie et de Statistique, ADRES, issue 60, pages 11, Octobre-D. [Downloadable!]
      Other versions:
    11. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics. [Downloadable!]
    12. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    13. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
    14. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    15. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
      Other versions:
    16. Odening, Martin & Hinrichs, Jan, 2002. "Assessment Of Market Risk In Hog Production Using Value-At-Risk And Extreme Value Theory," 2002 Annual meeting, July 28-31, Long Beach, CA 19907, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    17. GIOT, Pierre & LAURENT, SŽbastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    18. Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007. [Downloadable!]
    19. J. Q. Smith & António Santos, 2003. "Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier," GEMF Working Papers 2003-03, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
      Other versions:
    20. Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO. [Downloadable!]
    21. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany. [Downloadable!]
    22. Marc Saidenberg & Til Schuermann & May, . "The New Basel Capital Accord and Questions for Research," Center for Financial Institutions Working Papers 03-14, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    23. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    24. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer, vol. 27(2), pages 207-228, May. [Downloadable!] (restricted)
    25. Mark R. Manfredo & Raymond M. Leuthold, 1998. "Agricultural Applications of Value-at-Risk Analysis: A Perspective," Finance 9805002, EconWPA. [Downloadable!]
    26. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics. [Downloadable!]
    27. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    28. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    29. Weron, Rafal & Misiorek, Adam, 2006. "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper 1363, University Library of Munich, Germany. [Downloadable!]
    30. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    31. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO. [Downloadable!]
      Other versions:
    32. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
    33. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers 0607, University of Crete, Department of Economics. [Downloadable!]
    34. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    35. Odening, Martin & Hinrichs, Jan, 2002. "Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory," Working Paper Series 18826, Humboldt University Berlin, Institute for Agricultural Economic and Social Sciences. [Downloadable!]

  24. Peter Doyle & Peter F. Christoffersen, 1998. "From Inflation to Growth - Eight Years of Transition," IMF Working Papers 98/100, International Monetary Fund.

    Cited by:

    1. Hossain, A., 2006. "Sources of Economic Growth in Indonesia, 1966-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2). [Downloadable!] (restricted)
    2. Louette, Dominique & Smale, Melinda, 1998. "Farmers' Seed Selection Practices and Maize Variety Characteristics in a Traditionally-Based Mexican Community," Economics Working Papers 7667, CIMMYT: International Maize and Wheat Improvement Center. [Downloadable!]
    3. Alejandro Simone & Alex Segura-Ubiergo & Sanjeev Gupta, 2006. "New Evidence on Fiscal Adjustment and Growth in Transition Economies," IMF Working Papers 06/244, International Monetary Fund. [Downloadable!]
    4. Robert E. Baldwin, 2004. "Openness and Growth: What’s the Empirical Relationship?," NBER Chapters, in: Challenges to Globalization: Analyzing the Economics, pages 499-526 National Bureau of Economic Research, Inc. [Downloadable!]
    5. Hossain, A., 2005. "Granger-Causality Between Inflation, Money Growth, Currency Devaluation and Economic Growth in Indonesia, 1951-2002," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(3), pages 45-68. [Downloadable!]
    6. Nauro F. Campos & Fabrizio Coricelli, 2002. "Growth in Transition: What We Know, What We Don't, and What We Should," William Davidson Institute Working Papers Series 470, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
      Other versions:
    7. Longmire, Jim & Moldashev, Altynbeck, 1999. "Changing Competitiveness of the Wheat Sector of Kazakhstan and Sources of Future Productivity Growth," Economics Working Papers 7686, CIMMYT: International Maize and Wheat Improvement Center. [Downloadable!]
    8. Cottarelli, Carlo & Giannini, Curzio, 1998. "Inflation, Credibility, and the Role of the International Monetary Fund," IMF Papers on Policy Analysis and Assessments 98/12, International Monetary Fund. [Downloadable!]
    9. Ichiro Iwasaki, 2003. "Evolution of the Government–Business Relationship and Economic Performance in the Former Soviet States – Order State, Rescue State, Punish State," Economic Change and Restructuring, Springer, vol. 36(3), pages 223-257, September. [Downloadable!] (restricted)
    10. Ichiro Iwasaki, 2004. "Evolution of the Government–Business Relationship and Economic Performance in the Former Soviet States – Order State, Rescue State, Punish State," Economic Change and Restructuring, Springer, vol. 36(3), pages 223-257, September. [Downloadable!] (restricted)

  25. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Published as:

    Cited by:

    1. Antonio Rubia & Trino-Manuel Ñíguez, 2003. "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD 2003-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    2. Stefano Benati & M. Tavernini, 1998. "A new lagrangean heuristic for the generalized assignment problem," Quaderni DISA 014, Department of Computer and Management Sciences, University of Trento, Italy.
    3. Douglas D. Evanoff & Larry D. Wall, 2000. "Subordinated debt and bank capital reform," Working Paper 2000-24, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    4. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    5. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
    6. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C, 2002. "An Evaluation Framework for Alternative VaR Models," CEPR Discussion Papers 3403, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Beverly J. Hirtle, 2003. "What market risk capital reporting tells us about bank risk," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 37-54. [Downloadable!]
    8. Andreas Lehnert & Wayne Passmore, 1999. "Pricing systemic crises: monetary and fiscal policy when savers are uncertain," Finance and Economics Discussion Series 1999-33, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    9. Dominique Guegan & Cyril Caillault, 2008. "Forecasting VaR and Expected shortfall using dynamical Systems : a risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185374_v1, HAL. [Downloadable!]
      Other versions:
    10. A. Marchi & Luisa Mich, 1998. "Un modello per l'analisi e valutazione dei siti web: applicazione al sito del consorzio Dolomiti Superski," Quaderni DISA 011, Department of Computer and Management Sciences, University of Trento, Italy.
    11. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]

  26. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Mick Silver, 2006. "Core Inflation Measures and Statistical Issues in Choosing Among Them," IMF Working Papers 06/97, International Monetary Fund. [Downloadable!]
    2. Se Kyu Choi-Ha & Luis Felipe Lagos, 2003. "El Dinero como Indicador Líder," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 259-283. [Downloadable!]
    3. Lance J. Bachmeier & Norman R. Swanson, 2003. "Predicting Inflation: Does The Quantity Theory Help?," Departmental Working Papers 200317, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    4. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2003. "What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    5. Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," Working Paper 98-22, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    6. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    7. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series 1011, Center for International Economics, UC Santa Cruz. [Downloadable!]
      Other versions:
    8. Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003. "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin 381, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    9. Lucas, Andr‚, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    10. Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers 1998-008, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    11. P.J.G. Vlaar & A.H.J. den Reijer, 2003. "Forecasting inflation: An art as well as a science!," DNB Staff Reports (discontinued) 107, Netherlands Central Bank. [Downloadable!]
      Other versions:
    12. Richard Harrison & George Kapetanios & Tony Yates, . "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England. [Downloadable!]
      Other versions:
    13. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    15. Villani, Mattias & Warne, Anders, 2003. "Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs," Working Paper Series 156, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
      Other versions:
    16. Hans-Martin Krolzig & Michael Clements, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 058, University of Oxford, Department of Economics. [Downloadable!]
      Other versions:
    17. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal. [Downloadable!]
    18. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007. [Downloadable!]
      Other versions:
    19. Juan de Dios Tena & Antoni Espasa & Gabriel Pino, 2008. "Forecasting Spanish inflation using information from different sectors and geographical areas," Statistics and Econometrics Working Papers ws080101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    20. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
      [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]      ," MPRA Paper 8602, University Library of Munich, Germany. [Downloadable!]
    21. J.J.J. Groen, 2001. "(EURO) Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel," WO Research Memoranda (discontinued) 664, Netherlands Central Bank, Research Department. [Downloadable!]
    22. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    23. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    24. Tom Stark, 2000. "Does current-quarter information improve quarterly forecasts for the U.S. economy?," Working Papers 00-2, Federal Reserve Bank of Philadelphia. [Downloadable!]
    25. Ernst Baltensperger & Thomas Jordan & Marcel Savioz, 2001. "The demand for M3 and inflation forecasts: An empirical analysis for Switzerland," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(2), pages 244-272, June. [Downloadable!] (restricted)
    26. Tom Stark, 1998. "A Bayesian vector error corrections model of the U.S. economy," Working Papers 98-12, Federal Reserve Bank of Philadelphia. [Downloadable!]
    27. Peter Hoerdahl & Oreste Tristani, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Econometric Society 2004 North American Summer Meetings 379, Econometric Society. [Downloadable!]
      Other versions:
    28. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]

  27. Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics. [Downloadable!]
    2. RUGE-MURCIA, Francisco J., 2002. "Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence," Cahiers de recherche 2002-07, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    3. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics. [Downloadable!]
    4. Rossi, Barbara & Giacomini, Raffaella, 2006. "Detecting and Predicting Forecast Breakdowns," Working Papers 06-01, Duke University, Department of Economics. [Downloadable!]
      Other versions:
    5. Jagjit Chadha & Philip Schellekens, . "Monetary policy loss functions: two cheers for the quadratic," Bank of England working papers 101, Bank of England. [Downloadable!]
      Other versions:
    6. Giamboni Luigi, 2004. "Do husbands’ and wives’ predictions irrationally diverge?," Departmental Working Papers 203, Tor Vergata University, CEIS. [Downloadable!]
    7. George Christodoulakis, 2006. "Generalised Rational Bias in Financial Forecasts," Annals of Finance, Springer, vol. 2(4), pages 397-405, October. [Downloadable!] (restricted)
    8. Francisco J. Ruge-Murcia, 2001. "Inflation Targeting Under Asymmetric Preferences," Banco de España Working Papers 0106, Banco de España. [Downloadable!]
      Other versions:
    9. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    10. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Peter Pope & David Peel & Mark Clatworthy, 2006. "Are analysts’ loss functions asymmetric?," Working Papers 003094, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    12. Carlos Capistrán-Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Computing in Economics and Finance 2005 127, Society for Computational Economics. [Downloadable!]
      Other versions:
    13. Kala Krishna & Ataman Ozyildirim & Norman R. Swanson, 1998. "Trade, Investment, and Growth: Nexus, Analysis, and Prognosis," NBER Working Papers 6861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    15. Aristizábal, María Clara, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economia, UNIVERSIDAD DE ANTIOQUIA - CIE. [Downloadable!]
    16. Elliott, Graham & Komunjer, Ivana & Timmermann, Allan G, 2003. "Estimating Loss Function Parameters," CEPR Discussion Papers 3821, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    17. Francis X. Diebold & Lutz Kilian, 1997. "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers 0213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    18. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia. [Downloadable!]
    19. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    20. Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    21. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
    22. Joerg Doepke & Ulrich Fritsche & Boriss Siliverstovs, 2009. "Evaluating German Business Cycle Forecasts Under an Asymmetric Loss Function," Macroeconomics and Finance Series 200905, Hamburg University, Department Wirtschaft und Politik. [Downloadable!]
      Other versions:
    23. Ivana Komunjer & Michael T. Owyang, 2007. "Multivariate forecast evaluation and rationality testing," Working Papers 2007-047, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    24. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    25. Peter F. Christoffersen & Francis X. Diebold, 2004. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies. [Downloadable!]
      Other versions:
    26. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    27. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    28. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    29. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    30. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    31. Annette Kyobe & M. Cangiano & Stephan Danninger, 2005. "The Political Economy of Revenue-Forecasting Experience from Low-Income Countries," IMF Working Papers 05/2, International Monetary Fund. [Downloadable!]
    32. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    33. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and long-horizon forecasting," Working Papers 97-14, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    34. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]
    35. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society. [Downloadable!]
      Other versions:
    36. Carlos Capistrán & Allan Timmermann, 2008. "Disagreement and Biases in Inflation Expectations," CREATES Research Papers 2008-56, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    37. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    38. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic. [Downloadable!]
    39. Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    40. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    41. Pesaran, M.H. & Weale, M., 2005. "Survey Expectations," Cambridge Working Papers in Economics 0536, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    42. Raffaella Giacomini & Ivana Komunjer, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series 2002-11, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    43. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    44. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    45. Peter Lildholdt & Anne Vila Wetherilt, . "Anticipation of monetary policy in UK financial markets," Bank of England working papers 241, Bank of England. [Downloadable!]
    46. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    47. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    48. Manfred Deistler & Klaus Neusser, 2004. "Prognose uni- und multivariater Zeitreihen," Diskussionsschriften dp0401, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    49. Marcella Niglio, 2007. "Multi-step forecasts from threshold ARMA models using asymmetric loss functions," Statistical Methods and Applications, Springer, vol. 16(3), pages 395-410, November. [Downloadable!] (restricted)
    50. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2005. "Biases In Macroeconomic Forecasts: Irrationality Or Asymmetric Loss?," CAMA Working Papers 2005-14, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:
    51. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
    52. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society. [Downloadable!]

  28. Peter F. Christoffersen, . "Dating the Turning Points of Nordic Business Cycles," EPRU Working Paper Series 00-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]

    Cited by:

    1. Wolfgang Eggert & Laszlo Goerke, . "Fiscal Policy, Economic Integration and Unemployment," EPRU Working Paper Series 02-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    2. Wolfgang Eggert & Martin Kolmar, . "Contests with Size Effects," EPRU Working Paper Series 02-04, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    3. Wolfgang Eggert & Martin Kolmar, . "Information Sharing, Multiple Nash Equilibria, and Asymmetric Capital-Tax Competition," EPRU Working Paper Series 02-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]

Articles

  1. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 343-360, August. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. Peter Christoffersen & Torsten Sløk & Robert Wescott, 2001. "Is inflation targeting feasible in Poland?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 153-174, March. [Downloadable!] (restricted)

    Cited by:

    1. Bartosz Mackowiak, 2005. "How much of the Macroeconomic Variation in Eastern Europe is Attributable to External Shocks?," SFB 649 Discussion Papers SFB649DP2005-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    2. Ekaterina Vostroknutova, 2003. "Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?," Economic Change and Restructuring, Springer, vol. 36(2), pages 177-198, June. [Downloadable!] (restricted)
      Other versions:
    3. Kim, Byung-Yeon, 2001. "Determinants of Inflation in Poland: A Structural Cointegration Approach," BOFIT Discussion Papers 16/2001, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    4. Ekaterina VOSTROKNUTOVA, 2003. "Shock Therapy? An I (2) Cointegration Analysis of the Russian Stabilization," Economics Working Papers ECO2003/16, European University Institute. [Downloadable!]
    5. Fabrizio Iacone & Renzo Orsi, 2002. "Exchange Rate Management and Inflation Targeting in the CEE Accession Countries," Eastward Enlargement of the Euro-zone Working Papers wp08, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002. [Downloadable!]
    6. Jérôme Héricourt, 2005. "Monetary policy transmission in the CEECs : revisited results using alternative econometrics," Cahiers de la Maison des Sciences Economiques bla05020, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    7. Frömmel, Michael & Schobert, Franziska, 2006. "Monetary Policy Rules in Central and Eastern Europe," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-341, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    8. Balazs Egert & Doris Ritzberger-Gruenwald & Maria Antoinette Silgoner, 2004. "Inflation Differentials in Europe: Past Experience and Future Prospects," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 47-72, May. [Downloadable!]
    9. OROS, Cornel & ROMOCEA-TURCU, Camelia, 2009. "The Monetary Transmission Mechanisms In The Ceecs: A Structural Var Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(2). [Downloadable!] (restricted)
    10. Roberto Golinelli & Riccardo Rovelli, 2002. "Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries," Eastward Enlargement of the Euro-zone Working Papers wp10, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002. [Downloadable!]
      Other versions:

  7. Christoffersen, Peter & Hahn, Jinyong & Inoue, Atsushi, 2001. "Testing and comparing Value-at-Risk measures," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 325-342, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Peter Christoffersen & Peter Doyle, 2000. "From Inflation to Growth," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(2), pages 421-451, July. [Downloadable!] (restricted)

    Cited by:

    1. Ekaterina Vostroknutova, 2003. "Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?," Economic Change and Restructuring, Springer, vol. 36(2), pages 177-198, June. [Downloadable!] (restricted)
      Other versions:
    2. Domac, Ilker & Peters, Kyle & Yuzefovich, Yevgeny, 2001. "Does the exchange rate regime affect macroeconomic performance : evidence from transition economics," Policy Research Working Paper Series 2642, The World Bank. [Downloadable!]
    3. Jesús Crespo Cuaresma & Maria Antoinette Silgoner, 2004. "Groth effects of inflation in Europe: How low is too low, how high is too high?," Vienna Economics Papers 0411, University of Vienna, Department of Economics. [Downloadable!]
    4. Gillman, Max & Nakov, Anton, 2005. "Granger Causality of the Inflation-Growth Mirror in Accession Countries," CEPR Discussion Papers 4845, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Ekaterina VOSTROKNUTOVA, 2003. "Shock Therapy? An I (2) Cointegration Analysis of the Russian Stabilization," Economics Working Papers ECO2003/16, European University Institute. [Downloadable!]
    6. Tomasz Mickiewicz & Anna Zalewska, 2002. "Deindustrialisation. Lessons from the StructuralOutcomes of Post-Communist Transition," William Davidson Institute Working Papers Series 463, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    7. Richard C.K. Burdekin & Arthur T. Denzau & Manfred W. Keil & Thitithep Sitthiyot & Thomas D. Willett, . "When Does Inflation Hurt Economic Growth? Different Nonlinearities for Different Economies," Claremont Colleges Working Papers 2000-22, Claremont Colleges. [Downloadable!]
      Other versions:
    8. Marcelo Ochoa & Walter Orellana, 2002. "Una Aproximación No Lineal A La Relación Inflación– Crecimiento Económico: Un Estudio Para América Latina," GE, Growth, Math methods 0211003, EconWPA. [Downloadable!]
    9. Ichiro Iwasaki, 2003. "Transition Strategies and Economic Performances in the Former Soviet States: A Comparative Institutional View," Discussion Paper Series a433, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

  9. Christoffersen, Peter F & Giorgianni, Lorenzo, 2000. "Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 242-53, April.
    Other versions:

    See citations under working paper version above.

  10. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-58, October.
    Other versions:

    See citations under working paper version above.

  12. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
      Other versions:
    3. Dick van Dijk & Timo Teräsvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models - A Survey Of Recent Developments," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 1-47. [Downloadable!] (restricted)
      Other versions:
    4. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008. [Downloadable!]
    5. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics. [Downloadable!]
    6. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics. [Downloadable!]
    7. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    8. Andrew J. Patton, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series 2001-09, Department of Economics, UC San Diego. [Downloadable!]
    9. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    10. M.P. Clements & Ph.H.B.F. Franses & J. Smith, 1999. "On SETAR non-linearity and forecasting," Econometric Institute Report 141, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics. [Downloadable!]
    13. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    14. Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    15. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    16. Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
    17. Kenneth F. Wallis, 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 083, European Central Bank. [Downloadable!]
      Other versions:
    18. Pesaran, B. & Pesaran, M.H., 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics 0734, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    19. Bredin, Don & Hyde, Stuart, 2002. "Forex Risk: Measurement and Evaluation using Value-at-Risk," Research Technical Papers 6/RT/02, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
      Other versions:
    20. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics. [Downloadable!]
    21. Jeremy Berkowitz, 1999. "A coherent framework for stress-testing," Finance and Economics Discussion Series 1999-29, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    22. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    23. Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    24. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    25. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    26. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456. [Downloadable!]
    27. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2008. "Bayesian Analysis of Value-at-Risk with Product Partition Models," Quantitative Finance Papers 0809.0241, arXiv.org, revised May 2009. [Downloadable!]
    28. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17. [Downloadable!]
      Other versions:
    29. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    30. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    31. Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong, 2003. "Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 23-33. [Downloadable!]
    32. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics. [Downloadable!]
    33. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
      Other versions:
    34. Boero, Gianna & Marrocu, Emanuela, 2003. "The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts," The Warwick Economics Research Paper Series (TWERPS) 663, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    35. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    36. Giordani, Paolo & Söderlind, Paul, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," CEPR Discussion Papers 4068, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    37. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August. [Downloadable!] (restricted)
    38. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    39. Carol Alexander & Elizabeth Sheedy, 2007. "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-02, Henley Business School, Reading University. [Downloadable!]
    40. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    41. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009. [Downloadable!]
    42. Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics. [Downloadable!]
    43. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    44. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
    45. M. Marzo & P. Zagaglia, 2007. "Volatility Forecasting for Crude Oil Futures," Working Papers 599, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
      Other versions:
    46. Caporin Massimiliano & Paruolo Paolo, 2005. "Multivariate ARCH with spatial effects for stock sector and size," Economics and Quantitative Methods qf0509, Department of Economics, University of Insubria. [Downloadable!]
    47. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 03/111, International Monetary Fund. [Downloadable!]
    48. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    49. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
    50. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    51. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute. [Downloadable!]
    52. John Geweke & Gianni Amisano, 2008. "Optimal Prediction Pools," Working Paper Series 22-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]
      Other versions:
    53. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society. [Downloadable!]
      Other versions:
    54. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    55. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO. [Downloadable!]
      Other versions:
    56. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
      Other versions:
    57. Gianna Boero & Emanuela Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    58. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS) 777, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    59. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," Economics Working Papers we086027, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    60. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
    61. Ozun, Alper & Cifter, Atilla, 2007. "Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas," MPRA Paper 2711, University Library of Munich, Germany. [Downloadable!]
    62. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    63. Bahram Pesaran & M. Hashem Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    64. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    65. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
    66. Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009. [Downloadable!]
    67. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
    68. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    69. Philip Hans Franses & Henk Kranendonk & Debby Lanser, 2007. "On the optimality of expert-adjusted forecasts," CPB Discussion Papers 92, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    70. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics. [Downloadable!]
    71. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    72. Santosh Mishra & Gloria Gonzalez-Rivera & Tae-Hwy Lee, 2004. "Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk," Econometric Society 2004 North American Winter Meetings 356, Econometric Society. [Downloadable!]
    73. Wong, Woon K & Copeland, Laurence, 2008. "Risk Measurement and Management in a Crisis-Prone World," Cardiff Economics Working Papers E2008/14, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    74. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    75. B. Siliverstovs & D.J. Van Dijk, 2003. "Forecasting industrial production with linear, nonlinear and structural change models," Econometric Institute Report 321, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    76. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    77. Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    78. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L., 2008. "Quantile Regression Methods of Estimating Confidence Intervals for WASDE Price Forecasts," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6409, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    79. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90. [Downloadable!]
    80. D.J. Van Dijk & P.H. Franses, 2003. "Selecting a nonlinear time series model using weighted tests of equal forecast accuracy," Econometric Institute Report 315, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    81. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 835-851, July. [Downloadable!] (restricted)
    82. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)
    83. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    84. Bruce Mizrach, 2007. "Recovering Probabilistic Information From Options Prices and the Underlying," Departmental Working Papers 200702, Rutgers University, Department of Economics. [Downloadable!]
    85. Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001. "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers 01-029/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    86. Álvaro Veiga & Leonardo Souza, 2006. "Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 605-626, October. [Downloadable!] (restricted)
      Other versions:
    87. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
    88. David Ardia, 2007. "Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations," DQE Working Papers 6, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 08 Jul 2008. [Downloadable!]
    89. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 151-166, April. [Downloadable!] (restricted)
    90. Pesaran, M Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    91. Jian Wang & Jason J. Wu, 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    92. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper 10428, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    93. Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 09 Oct 2000. [Downloadable!]
      Other versions:
    94. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
      Other versions:
    95. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," CORE Discussion Papers 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    96. Francisco Peñaranda, 2004. "Are Vector Autoregressions And Accurate Model For Dynamic Asset Allocation?," Working Papers wp2004_0419, CEMFI. [Downloadable!]
    97. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    98. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    99. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    100. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
    101. Dimitrios Thomakos & Tao Wang, 2007. "'Optimal' Probabilistic Predictions for Financial Returns," Working Papers 0006, University of Peloponnese, Department of Economics. [Downloadable!]
    102. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute. [Downloadable!]
    103. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
      Other versions:
    104. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    105. John Geweke & Gianni Amisano, 2008. "Comparing and evaluating Bayesian predictive distributions of asset returns," Working Paper Series 969, European Central Bank. [Downloadable!]

  13. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon problems and extreme events in financial risk management," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 109-118. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  14. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, vol. 13(06), pages 808-817, December. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  15. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics. [Downloadable!]
    2. Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge. [Downloadable!]
    3. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Cahiers du Département d'Econométrie 2004.05, Département d'Econométrie, Université de Genève. [Downloadable!]
    4. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Peter Pope & David Peel & Mark Clatworthy, 2006. "Are analysts’ loss functions asymmetric?," Working Papers 003094, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    6. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    8. Aristizábal, María Clara, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economia, UNIVERSIDAD DE ANTIOQUIA - CIE. [Downloadable!]
    9. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia. [Downloadable!]
    10. Francis X. Diebold & Lutz Kilian, 1997. "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers 0213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    12. Peter F. Christoffersen & Francis X. Diebold, 2004. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies. [Downloadable!]
      Other versions:
    13. Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    14. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    15. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]
    17. Carlos Capistrán & Allan Timmermann, 2008. "Disagreement and Biases in Inflation Expectations," CREATES Research Papers 2008-56, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    18. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic. [Downloadable!]
    19. Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    20. Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998. [Downloadable!]
      Other versions:
    21. Demosthenes N Tambakis, 2000. "On The Informational Content Of Asset Prices," Computing in Economics and Finance 2000 101, Society for Computational Economics. [Downloadable!]
    22. Marcella Niglio, 2007. "Multi-step forecasts from threshold ARMA models using asymmetric loss functions," Statistical Methods and Applications, Springer, vol. 16(3), pages 395-410, November. [Downloadable!] (restricted)
    23. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics. [Downloadable!]
    24. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]

Chapters

  1. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-548 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)

    Cited by:

    1. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
      Other versions:
    2. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
    3. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Andrew J. Patton & Kevin Sheppard, 2008. "Evaluating Volatility and Correlation Forecasts," OFRC Working Papers Series 2008fe22, Oxford Financial Research Centre. [Downloadable!]
    5. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    6. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    8. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," Boston College Working Papers in Economics 692, Boston College Department of Economics. [Downloadable!]
      Other versions:
    9. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    10. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90. [Downloadable!]
    11. Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
      Other versions:
    12. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33. [Downloadable!]
    13. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    15. Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics. [Downloadable!]
      Other versions:
    16. Sanjay Kalra, 2008. "Global Volatility and Forex Returns in East Asia," IMF Working Papers 08/208, International Monetary Fund. [Downloadable!]
    17. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]

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