Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index
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Cited by:
- Trino-Manuel Niguez & Javier Perote, 2004.
"Forecasting the density of asset returns,"
STICERD - Econometrics Paper Series
479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Niguez, Trino-Manuel & Perote, Javier, 2004. "Forecasting the density of asset returns," LSE Research Online Documents on Economics 6845, London School of Economics and Political Science, LSE Library.
- Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
- Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated".
"Short-term options with stochastic volatility: Estimation and empirical performance,"
Studies on the Spanish Economy
02, FEDEA.
- Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000. "Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance," Working Papers. Serie AD 2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Vicente Meneu & Hipòlit Torró, 2003.
"Asymmetric covariance in spot‐futures markets,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
- Vicente Meneu & Hipolit Torro, "undated". "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
- Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004.
"Structural changes in volatility and stock market development: Evidence for Spain,"
Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
- Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
- Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
- Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel, 2002. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
- Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
- Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
- Juan Luis Nicolau, 2001. "Parametric And Nonparametric Approaches To Event Studies: An Application To A Hotel'S Market Value," Working Papers. Serie AD 2001-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Pilar Corredor Casado & Rafael Santamaría, "undated". "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA.
- Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Esther B. Del Brio & Javier Perote & Julio Pindado, 2003. "Measuring the Impact of Corporate Investment Announcements on Share Prices: The Spanish Experience," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 715-747, June.
More about this item
Keywords
Conditional heteroskedasticity; prediction; stock-return index;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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