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Peter F. Christoffersen

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, vol. 13(6), pages 808-817, December.

    Mentioned in:

    1. > Econometrics > Forecasting

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. 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 561-571, Sept.-Oct.

    Mentioned in:

    1. Further results on forecasting and model selection under asymmetric loss (Journal of Applied Econometrics 1996) in ReplicationWiki ()
  2. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.

    Mentioned in:

    1. Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (JFE 2012) in ReplicationWiki ()

Working papers

  1. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.

    Cited by:

    1. Jonas Rothfuss & Fabio Ferreira & Simon Walther & Maxim Ulrich, 2019. "Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks," Papers 1903.00954, arXiv.org, revised Apr 2019.
    2. Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
    3. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    4. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Leibniz Institute for Financial Research SAFE.

  2. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andrea Gamba & Alessio Saretto, 2022. "Endogenous Option Pricing," Working Papers 2202, Federal Reserve Bank of Dallas.
    2. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    3. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
    4. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).
    5. Nielsen, Ole Linnemann & Posselt, Anders Merrild, 2024. "Betting on mean reversion in the VIX? Evidence from ETP flows," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    6. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

  3. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.
    2. Wen, Fenghua & Zhang, Minzhi & Xiao, Jihong & Yue, Wei, 2022. "The impact of oil price shocks on the risk-return relation in the Chinese stock market," Finance Research Letters, Elsevier, vol. 47(PB).
    3. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    4. Chen, Lin & Wen, Fenghua & Li, Wanyang & Yin, Hua & Zhao, Lili, 2022. "Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 107(C).
    5. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
    6. Naomi Boyd & Bingxin Li & Rui Liu, 2022. "Risk premia in the term structure of crude oil futures: long-run and short-run volatility components," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1505-1533, May.
    7. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    8. Hamdi, Besma & Aloui, Mouna & Alqahtani, Faisal & Tiwari, Aviral, 2019. "Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis," Energy Economics, Elsevier, vol. 80(C), pages 536-552.
    9. Yang, Baochen & An, Haokai & Song, Xinyu, 2024. "Oil price uncertainty and corporate inefficient investment: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    10. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    11. Mensi, Walid & Hamed Al-Yahyaee, Khamis & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Dynamic spillover and connectedness between oil futures and European bonds," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    12. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2022. "Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data," Energies, MDPI, vol. 15(22), pages 1-26, November.
    13. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    14. Xie, Qichang & Luo, Chao & Cong, Xiaoping & Wang, Xu, 2024. "Volatility connectedness and its determinants of global energy stock markets," Economic Systems, Elsevier, vol. 48(2).
    15. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    16. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    17. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    18. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    19. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
    20. Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
    21. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
    22. Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
    23. Zhang, Teng & Xu, Zhiwei & Li, Jiaqi, 2023. "The asset pricing implications of global oil price uncertainty: Evidence from the cross-section of Chinese stock returns," Energy, Elsevier, vol. 285(C).
    24. Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
    25. Fernandez-Perez, Adrian & Indriawan, Ivan & Tse, Yiuman & Xu, Yahua, 2023. "Cross-asset time-series momentum: Crude oil volatility and global stock markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
    26. Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben Zhe, 2024. "Metal and energy price uncertainties and the global economy," Journal of International Money and Finance, Elsevier, vol. 143(C).
    27. Elder, John & Payne, James E., 2023. "Racial and ethnic disparities in unemployment and oil price uncertainty," Energy Economics, Elsevier, vol. 119(C).
    28. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
    29. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
    30. Mona Yaghoubi & Reza Yaghoubi, 2024. "The Ups and Downs of Oil Prices: Asymmetric Impacts of Oil Price Volatility on Corporate Environmental Responsibility," Working Papers in Economics 24/11, University of Canterbury, Department of Economics and Finance.
    31. Benedetto, Francesco & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2020. "Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis," Energy Economics, Elsevier, vol. 89(C).
    32. Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
    33. Arthur J. Lin & Hai-Yen Chang, 2020. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    34. Urom, Christian & Anochiwa, Lasbrey & Yuni, Denis & Idume, Gabriel, 2019. "Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    35. Li, Chenchen & Wang, Yudong & Wu, Chongfeng, 2022. "Oil implied volatility and expected stock returns along the worldwide supply chain," Energy Economics, Elsevier, vol. 114(C).
    36. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    37. Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
    38. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
    39. Demirer, Riza & Yuksel, Aydin & Yuksel, Asli, 2020. "Oil price uncertainty, global industry returns and active investment strategies," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    40. Qian, Lihua & Zeng, Qing & Li, Tao, 2022. "Geopolitical risk and oil price volatility: Evidence from Markov-switching model," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 29-38.
    41. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    42. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    43. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
    44. Umar, Zaghum & Trabelsi, Nader & Zaremba, Adam, 2021. "Oil shocks and equity markets: The case of GCC and BRICS economies," Energy Economics, Elsevier, vol. 96(C).
    45. Abdulrahman Alhassan & Atsuyuki Naka & Abdullah Noman, 2021. "Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets," JRFM, MDPI, vol. 14(8), pages 1-33, August.
    46. David Iheke Okorie & Boqiang Lin, 2022. "Crude oil market and Nigerian stocks: An asymmetric information spillover approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4002-4017, October.
    47. Ruixin Su & Jianguo Du & Fakhar Shahzad & Xingle Long, 2020. "Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price," Sustainability, MDPI, vol. 12(16), pages 1-12, August.
    48. Paolo Zagaglia, 2024. "Stocks, Gold and Crude Oil: How Valuable are Volatility and Correlation Timing?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(6), pages 1-5.
    49. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    50. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
    51. Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
    52. Li, Li & Chen, Hongyi & Xiang, Jingjie, 2023. "Oil price uncertainty, financial distress and real economic activities: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).

  4. Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014. "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers 2014-31, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.
    2. Binh Do & Robert Faff, 2021. "Pairs trading and idiosyncratic cash flow risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3171-3206, June.
    3. Nonejad, Nima, 2021. "Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil," Finance Research Letters, Elsevier, vol. 41(C).
    4. Jean-François Carpantier & Christelle Sapata, 2020. "The Ups and Downs of European Real Estate Markets’ Integration," Finance, Presses universitaires de Grenoble, vol. 41(2), pages 109-139.
    5. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
    6. Zhuo Huang & Fang Liang & Chen Tong, 2021. "The predictive power of macroeconomic uncertainty for commodity futures volatility," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 989-1012, September.
    7. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
    8. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
    9. Frantiv{s}ek v{C}ech & Jozef Barun'ik, 2018. "Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities," Papers 1807.11823, arXiv.org.
    10. Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
    11. Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020. "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, vol. 93(C), pages 642-650.
    12. Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The dynamics of commodity return comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1597-1617, October.
    13. Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
    14. Feng Ma & M. I. M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 60-75, January.
    15. Yin, Libo & Cao, Hong, 2024. "Understanding climate policy uncertainty: Evidence from temporal and spatial domains," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    16. Libo Yin & Jing Nie & Liyan Han, 2021. "Intermediary capital risk and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 577-640, May.
    17. Sihong Chen & Qi Li & Qiaoyu Wang & Yu Yvette Zhang, 2023. "Multivariate models of commodity futures markets: a dynamic copula approach," Empirical Economics, Springer, vol. 64(6), pages 3037-3057, June.
    18. Federico Giorgi & Stefano Herzel & Paolo Pigato, 2023. "A Reinforcement Learning Algorithm for Trading Commodities," CEIS Research Paper 552, Tor Vergata University, CEIS, revised 18 Feb 2023.
    19. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
    20. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics Discussion Papers 2018-55, Kiel Institute for the World Economy (IfW Kiel).
    21. Libo Yin & Hong Cao, 2024. "Financialization of commodity markets: New evidence from temporal and spatial domains," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1357-1382, August.
    22. Liu, Guangqiang & Guo, Xiaozhu, 2022. "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, vol. 75(C).
    23. Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
    24. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    25. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    26. Osman Dou{g}an & Raffaele Mattera & Philipp Otto & Suleyman Tac{s}p{i}nar, 2024. "A Dynamic Spatiotemporal and Network ARCH Model with Common Factors," Papers 2410.16526, arXiv.org.
    27. Isita Mukherjee & Bhaskar Goswami, 2017. "The volatility of returns from commodity futures: evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-23, December.
    28. Zhang, Xuan & Xiao, Jun & Zhang, Zhekai, 2020. "An anatomy of commodity futures returns in China," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    29. Jian Yang & Zheng Li & Hong Miao, 2021. "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1959-1987, December.
    30. Lu, Fei & Ma, Feng & Bouri, Elie & Liao, Yin, 2024. "Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 94(C).
    31. Ouyang, Ruolan & Zhang, Xuan, 2020. "Financialization of agricultural commodities: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 381-389.
    32. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
    33. Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022. "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, vol. 59(PA).
    34. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.

  5. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Xinglin Yang, 2018. "Good jump, bad jump, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1097-1125, September.
    2. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    3. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    4. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, vol. 21(3), pages 253-276, October.

  6. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Michael L. McIntyre, 2022. "Capital structure in an option-theoretic setting," SN Business & Economics, Springer, vol. 2(8), pages 1-24, August.
    2. Gongyue Jiang & Gaoxiu Qiao & Lu Wang & Feng Ma, 2024. "Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2378-2398, September.
    3. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
    5. Xinglin Yang, 2018. "Good jump, bad jump, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1097-1125, September.
    6. Juho Kanniainen & Martin Magris, 2018. "Option market (in)efficiency and implied volatility dynamics after return jumps," Papers 1810.12200, arXiv.org.
    7. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    8. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    9. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    10. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
    11. Yipeng Yang & Allanus Tsoi, 2016. "A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return," IJFS, MDPI, vol. 4(1), pages 1-24, February.
    12. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
    13. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
    14. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
    15. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    16. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
    17. Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
    18. Qiao, Gaoxiu & Ma, Xuekun & Jiang, Gongyue & Wang, Lu, 2024. "Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 415-437.
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    22. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
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  7. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Creal, Drew D. & Tsay, Ruey S., 2015. "High dimensional dynamic stochastic copula models," Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345.
    2. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.

  8. Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
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    3. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
    4. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP) dp-613, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    6. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    7. Huang, Jiexiang & Guo, Wei & Zhang, Jin E., 2020. "Do stocks outperform bank deposits in China?," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    8. Chaigneau, Pierre & Eeckhoudt, Louis, 2016. "Downside risk neutral probabilities," LSE Research Online Documents on Economics 118980, London School of Economics and Political Science, LSE Library.
    9. Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014. "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series 1411, University of St. Gallen, School of Economics and Political Science.
    10. Stein, Roberto, 2024. "More than meets the eye: On the relationship between skewness and expected returns," Finance Research Letters, Elsevier, vol. 60(C).
    11. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    12. Mensi, Walid & Ko, Hee-Un & Sensoy, Ahmet & Kang, Sang Hoon, 2024. "Higher-order moment connectedness between stock and commodity markets and portfolio management," Resources Policy, Elsevier, vol. 89(C).
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    177. Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
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    181. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
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    185. G.M. Gallo & O. Okhrin & G. Storti, 2024. "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Working Paper CRENoS 202416, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    186. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," Journal of Econometrics, Elsevier, vol. 193(2), pages 367-389.
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    188. Ilan Cooper & Liang Ma & Paulo Maio, 2022. "What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 73-118, February.
    189. Atance, David & Serna, Gregorio, 2024. "Time-varying expected returns, conditional skewness and Bitcoin return predictability," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).
    190. Liu, Yiye & Han, Liyan & Wu, You, 2022. "Can skewness predict CNY-CNH spread?," Finance Research Letters, Elsevier, vol. 46(PB).
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  9. Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013. "The Factor Structure in Equity Options," CREATES Research Papers 2013-47, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
    2. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
    3. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
    4. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    5. Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024. "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, vol. 241(2).
    6. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
    7. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    8. Mohrschladt, Hannes & Schneider, Judith C., 2021. "Option-implied skewness: Insights from ITM-options," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    9. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    10. Wang, Jinzhong & Chen, Shijiang & Tao, Qizhi & Zhang, Ting, 2017. "Modelling the implied volatility surface based on Shanghai 50ETF options," Economic Modelling, Elsevier, vol. 64(C), pages 295-301.
    11. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2013. "A nested factor model for non-linear dependences in stock returns," Papers 1309.3102, arXiv.org.
    12. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
    13. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
    14. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
    15. Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
    16. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
    17. Matthias Buechner & Bryan T. Kelly, 2021. "A Factor Model For Option Returns," NBER Working Papers 29369, National Bureau of Economic Research, Inc.
    18. Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    19. Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020. "Options Trading Costs Are Lower than You Think," The Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 4973-5014.
    20. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
    21. Song, Shiyu & Tang, Dan & Xu, Guangli & Yin, Xunbai, 2023. "An analytical GARCH valuation model for spread options with default risk," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 1-20.
    22. Büchner, Matthias & Kelly, Bryan, 2022. "A factor model for option returns," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1140-1161.
    23. Zhe Li, 2020. "Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks," JRFM, MDPI, vol. 13(1), pages 1-18, January.

  10. Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin, 2013. "Correlation Dynamics and International Diversification Benefits," CREATES Research Papers 2013-49, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
    2. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    3. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    4. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    5. Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
    6. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2018. "Portfolio optimization based on GARCH-EVT-Copula forecasting models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 497-506.
    7. Cocca, Teodoro & Gabauer, David & Pomberger, Stefan, 2024. "Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures," Energy Economics, Elsevier, vol. 136(C).
    8. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    9. Chen, Yongfei & Wei, Yu & Bai, Lan & Zhang, Jiahao & Wang, Zhuo, 2023. "Connectedness and hedging effects among China's nonferrous metal, crude oil and green bond markets: An extreme perspective," Finance Research Letters, Elsevier, vol. 58(PA).
    10. Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
    11. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 308, Sveriges Riksbank (Central Bank of Sweden).
    12. Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
    13. Wang, Zhuo & Chen, Xiaodan & Zhou, Chunyan & Zhang, Yifeng & Wei, Yu, 2024. "Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak?," International Review of Financial Analysis, Elsevier, vol. 94(C).
    14. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    15. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    16. Ziadat, Salem Adel & Mensi, Walid & Al-Kharusi, Sami & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Are clean energy markets hedges for stock markets? A tail quantile connectedness regression," Energy Economics, Elsevier, vol. 136(C).
    17. Patel, Ritesh & Gubareva, Mariya & Chishti, Muhammad Zubair & Teplova, Tamara, 2024. "Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies," International Review of Financial Analysis, Elsevier, vol. 93(C).
    18. John Cotter & Stuart Gabriel & Richard Roll, 2016. "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers 201612, Geary Institute, University College Dublin.
    19. Guangxi Cao & Fei Xie, 2024. "Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2155-2175, April.
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    209. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
    210. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2015. "Improving international diversification benefits for US investors," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 64-76.
    211. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    212. Rehman, Mobeen Ur & Asghar, Nadia & Kang, Sang Hoon, 2020. "Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    213. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).
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    218. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.
    219. Ricard Durall, 2022. "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers 2208.07158, arXiv.org.
    220. Amaya, Diego & Herrerias, Renata & Perez, Fernando & Vasquez, Aurelio, 2023. "Realized semibetas and international stock return predictability," Finance Research Letters, Elsevier, vol. 58(PC).
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    222. Zaremba, Adam & Maydybura, Alina, 2019. "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, vol. 38(C), pages 219-238.
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  12. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
    2. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.

  13. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012. "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers 2012-49, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
    2. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    3. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
    4. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    5. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    6. Wu, Bin & Chen, Pengzhan & Ye, Wuyi, 2024. "Variance swaps with mean reversion and multi-factor variance," European Journal of Operational Research, Elsevier, vol. 315(1), pages 191-212.
    7. Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
    8. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
    9. Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.
    10. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
    11. Frédéric Godin & Ramin Eghbalzadeh & Patrice Gaillardetz, 2023. "Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model," Review of Derivatives Research, Springer, vol. 26(2), pages 171-206, October.
    12. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
    13. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
    14. Steffen Hitzemann & Marliese Uhrig-Homburg, 2019. "Empirical performance of reduced-form models for emission permit prices," Review of Derivatives Research, Springer, vol. 22(3), pages 389-418, October.
    15. Guo, Bin & Huang, Fuzhe & Li, Kai, 2020. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    16. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
    17. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    18. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
    19. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015. "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 334-349.
    20. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
    21. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
    22. Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
    23. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
    24. Albert Lee Chun & Ethan Namvar & Xiaoxia Ye & Fan Yu, 2019. "Modeling Municipal Yields With (and Without) Bond Insurance," Management Science, INFORMS, vol. 65(8), pages 3694-3713, August.
    25. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    26. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
    27. Yang-Ho Park, 2015. "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series 2015-71, Board of Governors of the Federal Reserve System (U.S.).
    28. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    29. Zhiguang Wang & Brice Dupoyet, 2019. "A dimension‐invariant cascade model for VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1214-1227, October.
    30. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
    31. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
    32. Kentaro Kikuchi, 2024. "A term structure interest rate model with the Brownian bridge lower bound," Annals of Finance, Springer, vol. 20(3), pages 301-328, September.
    33. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    34. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    35. Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
    36. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).

  14. Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Staff Working Papers 12-34, Bank of Canada.

    Cited by:

    1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    2. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    3. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
    4. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    5. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    6. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
    7. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
    8. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    9. Vacca, Gianmarco & Zoia, Maria Grazia & Bagnato, Luca, 2022. "Forecasting in GARCH models with polynomially modified innovations," International Journal of Forecasting, Elsevier, vol. 38(1), pages 117-141.
    10. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    11. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
    12. Yan Liu & Xiong Zhang, 2023. "Option Pricing Using LSTM: A Perspective of Realized Skewness," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
    13. Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
    14. Xinglin Yang, 2018. "Good jump, bad jump, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1097-1125, September.
    15. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    16. Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022. "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, vol. 77(C).
    17. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    18. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    19. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    20. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    21. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
    22. Xinglin Yang & Peng Wang, 2018. "VIX futures pricing with conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1126-1151, September.
    23. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
    24. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    25. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
    26. Papantonis Ioannis & Rompolis Leonidas S. & Tzavalis Elias & Agapitos Orestis, 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
    27. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 187-223.
    28. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    29. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Aug 2024.
    30. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    31. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Documents de travail du Centre d'Economie de la Sorbonne 17006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    32. Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," JRFM, MDPI, vol. 8(3), pages 1-26, August.
    33. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
    34. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
    35. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    36. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
    37. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
    38. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
    39. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
    40. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    41. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
    42. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
    43. Christos Alexakis & Dimitris Kenourgios & Vasileios Pappas & Athina Petropoulou, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Post-Print hal-03347374, HAL.
    44. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    45. Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024. "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, vol. 77(C).
    46. Prateek Sharma & Swati Sharma, 2015. "Forecasting gains of robust realized variance estimators: evidence from European stock markets," Economics Bulletin, AccessEcon, vol. 35(1), pages 61-69.
    47. Elsayed, Ahmed H. & Hoque, Mohammad Enamul & Billah, Mabruk & Alam, Md. Kausar, 2024. "Connectedness across meme assets and sectoral markets: Determinants and portfolio management," International Review of Financial Analysis, Elsevier, vol. 93(C).
    48. Chen, Xiaoyi & Feng, JianFen & Wang, Tianyi, 2023. "Pricing VIX futures: A framework with random level shifts," Finance Research Letters, Elsevier, vol. 52(C).
    49. Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
    50. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    51. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
    52. Yang, Cai & Gong, Xu & Zhang, Hongwei, 2019. "Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect," Resources Policy, Elsevier, vol. 61(C), pages 548-563.
    53. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
    54. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
    55. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
    56. Sanfelici Simona & Uboldi Adamo, 2014. "Assessing the quality of volatility estimators via option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 103-124, April.
    57. Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "A GARCH model with two volatility components and two driving factors," Papers 2410.14585, arXiv.org.
    58. Tong, Chen, 2024. "Pricing CBOE VIX in non-affine GARCH models with variance risk premium," Finance Research Letters, Elsevier, vol. 62(PA).
    59. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2019. "An analytical perturbative solution to the Merton Garman model using symmetries," Papers 1909.01413, arXiv.org, revised Jan 2021.
    60. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
    61. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    62. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
    63. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    64. Ziegelmann, Flávio Augusto & Borges, Bruna & Caldeira, João F., 2015. "Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
    65. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
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    67. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
    68. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
    69. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  15. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Belloni, Alexandre & Chen, Mingli & Chernozhukov, Victor, 2016. "Quantile Graphical Models : Prediction and Conditional Independence with Applications to Financial Risk Management," Economic Research Papers 269321, University of Warwick - Department of Economics.
    2. Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," PIER Working Paper Archive 15-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Jul 2015.
    3. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo.
    4. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    5. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    6. Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016. "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers 1607.00286, arXiv.org, revised Oct 2019.
    7. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
    8. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    9. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
    10. Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers 28/13, Institute for Fiscal Studies.
    11. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
    12. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    13. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    14. Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013. "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers 2013-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Peter Christoffersen & Asger Lunde & Kasper V. Olesen, 2014. "Factor Structure in Commodity Futures Return and Volatility," CREATES Research Papers 2014-31, Department of Economics and Business Economics, Aarhus University.
    16. Yu Chen & Jie Hu & Weiping Zhang, 2020. "Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 28(6), pages 78-100, November.
    17. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
    18. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
    19. Francis X. Diebold, 2020. ""Big Data" and its Origins," Papers 2008.05835, arXiv.org, revised Jan 2021.
    20. Han-Ching Huang & Yong-Chern Su & Jen-Tien Tsui, 2015. "Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 390-398.
    21. Duan, Yunlong & Mu, Chang & Yang, Meng & Deng, Zhiqing & Chin, Tachia & Zhou, Li & Fang, Qifeng, 2021. "Study on early warnings of strategic risk during the process of firms’ sustainable innovation based on an optimized genetic BP neural networks model: Evidence from Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 242(C).
    22. BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
    23. Richard Friberg & Mark Sanctuary, 2020. "Exchange rate risk and the skill composition of labor," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(2), pages 287-312, May.
    24. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
    25. Fabrizio Cipollini & Giampiero M. Gallo, 2018. "Modeling Euro STOXX 50 Volatility with Common and Market–specific Components," Working Paper series 18-26, Rimini Centre for Economic Analysis.
    26. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
    27. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
    28. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    29. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    30. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    31. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
    32. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
    33. Hoga, Yannick, 2021. "The uncertainty in extreme risk forecasts from covariate-augmented volatility models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 675-686.
    34. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    35. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    36. Nurulhasanah Abdul Rahman & Rafisah Mat Radzi, 2015. "Determinants of Effective Financial Risk Management in Small Business: A Theoretical Framework," Information Management and Business Review, AMH International, vol. 7(2), pages 87-92.
    37. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    38. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
    39. Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng, 2019. "Jump variance risk: Evidence from option valuation and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 890-915, July.
    40. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
    41. Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Apr 2024.
    42. Diebold, Francis X. & Yılmaz, Kamil, 2023. "Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 234(S), pages 70-90.
    43. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
    44. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.

  16. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
    3. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    4. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    5. Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2018. "Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?," Working Papers 18-4, HEC Montreal, Canada Research Chair in Risk Management, revised 25 Jun 2021.
    6. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.
    7. Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014. "The role of education in equity portfolios during the recent financial crisis," Working Papers 2014_17, Business School - Economics, University of Glasgow.
    8. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
    9. Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui, 2016. "Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1763-1789, November.
    10. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
    11. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    12. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    13. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
    14. Chang‐Che Wu & MeiChi Huang & Chih‐Chiang Wu, 2021. "The role of asymmetry and dynamics in carry trade and general financial markets," The Financial Review, Eastern Finance Association, vol. 56(2), pages 331-353, May.
    15. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
    16. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
    17. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, Department of Economics and Business Economics, Aarhus University.
    18. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
    19. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
    20. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
    21. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    22. Marie Briere & Ariane Szafarz, 2021. "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB 21-002, ULB -- Universite Libre de Bruxelles.
    23. Ericsson, Jan & Huang, Xiao & Mazzotta, Stefano, 2016. "Leverage and asymmetric volatility: The firm-level evidence," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 1-21.
    24. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    25. Mensah, Jones Odei & Alagidede, Paul, 2017. "How are Africa's emerging stock markets related to advanced markets? Evidence from copulas," Economic Modelling, Elsevier, vol. 60(C), pages 1-10.
    26. Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
    27. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    28. Sebastian Opitz & Alexander Szimayer, 2018. "What drives flight to quality?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 529-571, November.
    29. Li, Danyang & Shi, Yukun & Xu, Liao & Xu, Yahua & Zhao, Yang, 2022. "Dynamic asymmetric dependence and portfolio management in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 48(C).
    30. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021. "Multivariate crash risk," CFR Working Papers 21-07, University of Cologne, Centre for Financial Research (CFR).
    31. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    32. Wei Huang & Meng-Shiuh Chang, 2021. "Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China," SAGE Open, , vol. 11(1), pages 21582440219, January.
    33. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
    34. Joe, Harry & Sang, Peijun, 2016. "Multivariate models for dependent clusters of variables with conditional independence given aggregation variables," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 114-132.
    35. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018. "Dynamic Dependence and Diversification in Corporate Credit [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, vol. 22(2), pages 521-560.
    36. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
    37. Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.

  17. Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011. "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2011-44, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
    2. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    3. Ruan, Xinfeng & Zhu, Wenli & Huang, Jiexiang & Zhang, Jin E., 2016. "Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums," Economic Modelling, Elsevier, vol. 54(C), pages 326-338.
    4. Li, Jia & Patton, Andrew J., 2018. "Asymptotic inference about predictive accuracy using high frequency data," Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.

  18. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
    2. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
    3. Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
    4. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    5. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    6. Olaf Korn & Paolo Krischak & Erik Theissen, 2019. "Illiquidity transmission from spot to futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1228-1249, October.
    7. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2012-35, Department of Economics, University of Konstanz.
    8. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
    9. Kazuhiro Hiraki & Wataru Hirata, 2020. "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series 20-E-5, Bank of Japan.
    10. Siu Kai Choy & Jason Wei, 2022. "Option trading and returns versus the 52‐week high and low," The Financial Review, Eastern Finance Association, vol. 57(3), pages 691-726, August.
    11. Gilstrap, Collin & Petkevich, Alex & Teterin, Pavel, 2020. "Striking up with the in crowd: When option markets and insiders agree," Journal of Banking & Finance, Elsevier, vol. 120(C).
    12. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    13. Xuejun Jin & Jingyu Zhao & Xingguo Luo, 2022. "Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1772-1793, September.
    14. Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu, 2020. "The impact of net buying pressure on VIX option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 209-227, February.
    15. Lin, Zih-Ying & Chang, Chuang-Chang & Wang, Yaw-Huei, 2018. "The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 152-165.
    16. Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
    17. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
    18. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
    19. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
    20. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
    21. Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
    22. Da‐Hea Kim, 2022. "Investment horizon and option market activity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 923-958, May.
    23. Chuang, Ming-Che & Tsai, Jeffrey Tzuhao, 2024. "Determining bid-ask prices for options with stochastic illiquidity and applications to index options," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    24. Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
    25. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    26. Ahn, Jungkyu, 2024. "Options illiquidity in an over-the-counter market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    27. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    28. Cai, Chengyou & Wang, Xingchun & Yu, Baimin, 2024. "Pricing vulnerable spread options with liquidity risk under Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    29. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
    30. Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    31. Mi‐Hsiu Chiang & Hsin‐Yu Chiu & Robin K. Chou, 2021. "Relevance of the disposition effect on the options market: New evidence," Financial Management, Financial Management Association International, vol. 50(1), pages 75-106, March.
    32. Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021. "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 297-321.
    33. Luis Goncalves-Pinto & Bruce D. Grundy & Allaudeen Hameed & Thijs van der Heijden & Yichao Zhu, 2020. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market," Management Science, INFORMS, vol. 66(9), pages 3903-3926, September.
    34. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "Analytical valuation for geometric Asian options in illiquid markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 175-191.
    35. Siu Kai Choy & Jason Wei, 2023. "Investor Attention and Option Returns," Management Science, INFORMS, vol. 69(8), pages 4845-4863, August.
    36. Hsieh, Hui-Ching & Nguyen, Van Quoc Thinh, 2021. "Economic policy uncertainty and illiquidity return premium," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    37. Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives," Papers 2302.13426, arXiv.org, revised Jan 2025.
    38. Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun, 2018. "European quanto option pricing in presence of liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 230-244.
    39. Choy, Siu Kai & Wei, Jason, 2020. "Liquidity risk and expected option returns," Journal of Banking & Finance, Elsevier, vol. 111(C).

  19. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    2. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    3. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
    4. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
    5. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    6. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
    7. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016. "Risk and Return Spillovers among the G10 Currencies," Melbourne Institute Working Paper Series wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    8. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
    10. Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
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  21. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian, 2015. "Euro at risk: The impact of member countries' credit risk on the stability of the common currency," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 67-83.
    2. Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
    3. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
    4. Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.

  22. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2010. "Is the Potential for International Diversification Disappearing?," Working Papers 11-20, University of Pennsylvania, Wharton School, Weiss Center.

    Cited by:

    1. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
    2. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
    3. Chia, Rui Ming Daryl & Lim, Kai Jie Shawn, 2012. "The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market," MPRA Paper 41455, University Library of Munich, Germany.
    4. Eric Benhamou & David Saltiel & Sandrine Ungari & Abhishek Mukhopadhyay, 2020. "Bridging the gap between Markowitz planning and deep reinforcement learning," Papers 2010.09108, arXiv.org.

  23. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
    2. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    3. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
    4. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
    5. Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    7. Gradojevic Nikola, 2016. "Multi-criteria classification for pricing European options," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 123-139, April.
    8. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    9. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.
    10. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    11. Cho-Hoi Hui & Tsz-Kin Chung, 2010. "The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010," Working Papers 252010, Hong Kong Institute for Monetary Research.
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    13. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    14. Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
    15. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    16. Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung, 2021. "Estimation of stochastic volatility and option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 349-360, March.
    17. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    18. Jan Pospíšil & Tomáš Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Empirical Economics, Springer, vol. 57(6), pages 1935-1958, December.
    19. Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
    20. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    21. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    22. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
    23. Bégin, Jean-François & Sanders, Barbara, 2024. "Benefit volatility-targeting strategies in lifetime pension pools," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 72-94.
    24. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    25. Wang, Ning & Zhang, Yumo, 2024. "Robust asset-liability management games for n players under multivariate stochastic covariance models," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 67-98.
    26. Kim, See-Woo & Kim, Jeong-Hoon, 2020. "Pricing generalized variance swaps under the Heston model with stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 168(C), pages 1-27.
    27. Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
    28. Betuel Canhanga & Anatoliy Malyarenko & Jean-Paul Murara & Ying Ni & Sergei Silvestrov, 2017. "Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1075-1087, December.
    29. Zhenyu Cui & J. Lars Kirkby & Guanghua Lian & Duy Nguyen, 2017. "Integral Representation Of Probability Density Of Stochastic Volatility Models And Timer Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
    30. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    31. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    32. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
    33. Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
    34. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
    35. Wu, Bin & Chen, Pengzhan & Ye, Wuyi, 2024. "Variance swaps with mean reversion and multi-factor variance," European Journal of Operational Research, Elsevier, vol. 315(1), pages 191-212.
    36. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
    37. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
    38. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    39. Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
    40. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
    41. Gaetano La Bua & Daniele Marazzina, 2022. "A new class of multidimensional Wishart-based hybrid models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 209-239, June.
    42. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
    43. Bretó, Carles, 2014. "On idiosyncratic stochasticity of financial leverage effects," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 20-26.
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    45. Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
    46. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
    47. Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
    48. Junkee Jeon & Geonwoo Kim, 2024. "Analytical Valuation of Vulnerable Exchange Options with Stochastic Volatility in a Reduced-Form Model," Mathematics, MDPI, vol. 12(24), pages 1-11, December.
    49. Guo, Biao & Han, Qian & Lin, Hai, 2015. "Forecasting the Term Structure of Implied Volatilities," Working Paper Series 20148, Victoria University of Wellington, School of Economics and Finance.
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    56. Pun, Chi Seng & Chung, Shing Fung & Wong, Hoi Ying, 2015. "Variance swap with mean reversion, multifactor stochastic volatility and jumps," European Journal of Operational Research, Elsevier, vol. 245(2), pages 571-580.
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    Cited by:

    1. Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
    2. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    3. Godin, Frédéric & Trottier, Denis-Alexandre, 2021. "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 116-129.
    4. Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang, 2013. "Pricing discrete path-dependent options under a double exponential jump–diffusion model," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2702-2713.
    5. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    6. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
    7. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
    8. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    9. Zumbach, Gilles, 2012. "Option pricing and ARCH processes," Finance Research Letters, Elsevier, vol. 9(3), pages 144-156.
    10. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
    12. Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    13. Haibin Xie & Xinyu Wu & Pengying Fan, 2021. "Accelerating FHS Option Pricing Under Linear GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 395-411, August.
    14. Yan Liu & Xiong Zhang, 2023. "Option Pricing Using LSTM: A Perspective of Realized Skewness," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
    15. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
    16. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
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    18. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    21. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    22. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    23. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    24. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    25. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    26. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    27. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    28. Xinglin Yang & Peng Wang, 2018. "VIX futures pricing with conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1126-1151, September.
    29. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    30. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
    31. Gilles Zumbach & Luis Fernández, 2012. "Fast and realistic European ARCH option pricing and hedging," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 713-728, November.
    32. Alexandre Carbonneau & Frédéric Godin, 2023. "Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures," Risks, MDPI, vol. 11(8), pages 1-27, August.
    33. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    34. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    35. Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019. "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 130-142.
    36. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
    37. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, Department of Economics and Business Economics, Aarhus University.
    38. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
    39. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    40. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    41. Ederington, Louis H. & Guan, Wei, 2013. "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3388-3400.
    42. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, Department of Economics and Business Economics, Aarhus University.
    43. Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
    44. Rachid Belhachemi, 2024. "Option Valuation with Conditional Heteroskedastic Hidden Truncation Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2585-2601, June.
    45. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    46. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
    47. Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024. "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 97-133, January.
    48. Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
    49. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    50. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    51. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
    52. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    53. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
    54. Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
    55. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
    56. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    57. Umberto Cherubini & Fabio Gobbi & Sabrina Mulinacci & Silvia Romagnoli, 2016. "Granger Independent Martingale Processes," Papers 1607.01519, arXiv.org.
    58. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    59. Cathy O'Neil & Gilles Zumbach, 2013. "Using relative returns to accommodate fat-tailed innovations in processes and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1185-1197, July.
    60. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
    61. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
    62. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
    63. Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.
    64. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  25. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.

    Cited by:

    1. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
    2. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2016. "International stock market cointegration under the risk-neutral measure," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 243-255.
    3. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
    4. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
    5. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
    6. Tolga Cenesizoglu & Denada Ibrushi, 2020. "Predicting Systematic Risk With Macroeconomic And Financial Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 649-673, August.
    7. Kumiega, Andrew & Neururer, Thaddeus & Van Vliet, Ben, 2011. "Independent component analysis for realized volatility: Analysis of the stock market crash of 2008," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 292-302, June.
    8. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10, University of Cologne, Centre for Financial Research (CFR).
    10. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "How to Estimate Beta?," Hannover Economic Papers (HEP) dp-617, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    12. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
    13. Bernales, Alejandro & Guidolin, Massimo, 2014. "Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
    14. Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
    15. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (U.S.).
    16. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    17. Schadner, Wolfgang, 2021. "Ex-Ante Risk Factors and Required Structures of the Implied Correlation Matrix," Finance Research Letters, Elsevier, vol. 41(C).
    18. Richard D. F. Harris & Xuguang Li & Fang Qiao, 2019. "Option‐implied betas and the cross section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 94-108, January.
    19. Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    20. Cenesizoglu, Tolga & Reeves, Jonathan J., 2018. "CAPM, components of beta and the cross section of expected returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 223-246.
    21. Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013. "Which beta is best? On the information content of option-implied betas," CFR Working Papers 13-11, University of Cologne, Centre for Financial Research (CFR).
    22. Jeffrey L. Callen & Matthew R. Lyle, 2020. "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, vol. 25(1), pages 342-404, March.
    23. Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
    24. Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
    25. Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
    26. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    27. Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
    28. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
    29. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    30. Wen Jin & Joshua Livnat & Yuan Zhang, 2012. "Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?," Journal of Accounting Research, Wiley Blackwell, vol. 50(2), pages 401-432, May.
    31. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    32. Bernales, Alejandro & Guidolin, Massimo, 2015. "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Journal of Financial Markets, Elsevier, vol. 26(C), pages 1-37.
    33. Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
    34. Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018. "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 595-637.
    35. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08, University of Cologne, Centre for Financial Research (CFR).
    36. Chen, Cong & Zhang, Su & Zhang, Guohui & Bogus, Susan M. & Valentin, Vanessa, 2014. "Discovering temporal and spatial patterns and characteristics of pavement distress condition data on major corridors in New Mexico," Journal of Transport Geography, Elsevier, vol. 38(C), pages 148-158.
    37. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.

  26. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.

    Cited by:

    1. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    2. Andrey Itkin, 2023. "Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps," Papers 2308.08760, arXiv.org, revised Feb 2024.
    3. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
    4. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
    5. Matthew Lorig & Oriol Lozano-Carbass�, 2015. "Multiscale exponential L�vy-type models," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 91-100, January.
    6. Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
    7. Li, Junye, 2012. "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 249-260.

  27. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
    2. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    4. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    5. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
    6. Yang, Xinglin & Shang, Yuhuang, 2024. "Pricing VIX futures with mixed frequency macroeconomic information," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 847-857.
    7. Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
    8. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    9. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
    10. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    12. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    13. Ngozi G. Emenogu & Monday Osagie Adenomon & Nwaze Obini Nweze, 2020. "On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-25, December.
    14. Naomi Boyd & Bingxin Li & Rui Liu, 2022. "Risk premia in the term structure of crude oil futures: long-run and short-run volatility components," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1505-1533, May.
    15. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    16. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, School of Economics, University of Bristol, UK.
    17. Liu, Hailong & Li, Rui & Yuan, Jinjian, 2018. "Deposit insurance pricing under GARCH," Finance Research Letters, Elsevier, vol. 26(C), pages 242-249.
    18. Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance," Papers 2410.14513, arXiv.org.
    19. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
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  29. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    2. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    3. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Brignone, Riccardo & Gonzato, Luca, 2024. "Exact simulation of the Hull and White stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    5. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    7. Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
    8. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, vol. 7(1), pages 2-42.
    9. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    10. Carol Alexander & Emese Lazar & Silvia Stanescu, 2010. "Analytic Moments for GARCH Processes," ICMA Centre Discussion Papers in Finance icma-dp2011-07, Henley Business School, University of Reading, revised Apr 2011.
    11. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    12. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    13. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
    14. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
    15. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
    16. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
    17. Mahdi Teimouri & Saralees Nadarajah, 2022. "Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 665-692, August.
    18. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(1), pages 2-42.
    19. Hambuckers, Julien & Heuchenne, Cedric, 2017. "A robust statistical approach to select adequate error distributions for financial returns," LIDAM Reprints ISBA 2017031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
    21. Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
    22. Rachid Belhachemi, 2024. "Option Valuation with Conditional Heteroskedastic Hidden Truncation Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2585-2601, June.
    23. Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024. "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, vol. 77(C).
    24. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
    25. Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
    26. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    27. Augustyniak, Maciej & Godin, Frédéric & Simard, Clarence, 2019. "A profitable modification to global quadratic hedging," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 111-131.
    28. Luca Vincenzo Ballestra & Enzo D'Innocenzo & Christian Tezza, 2024. "A GARCH model with two volatility components and two driving factors," Papers 2410.14585, arXiv.org.
    29. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
    30. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    31. Mitrodima, Gelly & Oberoi, Jaideep, 2024. "CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features," LSE Research Online Documents on Economics 120880, London School of Economics and Political Science, LSE Library.
    32. Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
    33. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
    34. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  30. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. T.G. Saji, 2018. "Predicting Market Betas," Paradigm, , vol. 22(2), pages 160-174, December.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    3. Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan, 2009. "Cross-sectional analysis of risk-neutral skewness," CFR Working Papers 09-11, University of Cologne, Centre for Financial Research (CFR).
    4. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014. "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, vol. 69(5), pages 2279-2337, October.
    5. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.

  31. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2022. "Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices," Papers 2211.14814, arXiv.org.
    2. Carlos Fuertes & Andrew Papanicolaou, 2012. "Implied Filtering Densities on Volatility's Hidden State," Papers 1203.6631, arXiv.org, revised Mar 2017.
    3. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2023. "Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data," Papers 2302.01816, arXiv.org.
    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," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
    5. Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.
    6. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
    7. Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.
    8. Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018. "Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores [A Comparative Analysis among GARCH-M, EGARC," MPRA Paper 84304, University Library of Munich, Germany.
    9. Malik, Sheheryar & Pitt, Michael K, 2009. "Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering," The Warwick Economics Research Paper Series (TWERPS) 897, University of Warwick, Department of Economics.
    10. Oliver Pfante & Nils Bertschinger, 2016. "Volatility Inference and Return Dependencies in Stochastic Volatility Models," Papers 1610.00312, arXiv.org.

  32. 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," Finance Working Papers 22075, East Asian Bureau of Economic Research.

    Cited by:

    1. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, New Economic School (NES).
    2. Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2019. "Return Signal Momentum," QBS Working Paper Series 2019/04, Queen's University Belfast, Queen's Business School.
    3. Stelios Bekiros & Dimitris Georgoutsos, 2008. "Non-linear dynamics in financial asset returns: the predictive power of the CBOE volatility index," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 397-408.
    4. M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    5. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
    6. Luis H. R. Alvarez E. & Paavo Salminen, 2017. "Timing in the presence of directional predictability: optimal stopping of skew Brownian motion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.

  33. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).

    Cited by:

    1. 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.
    2. Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers 22481, East Asian Bureau of Economic Research.
    3. Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
    4. Zareipour, Hamidreza & Bhattacharya, Kankar & Canizares, Claudio A., 2007. "Electricity market price volatility: The case of Ontario," Energy Policy, Elsevier, vol. 35(9), pages 4739-4748, September.
    5. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    6. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
    7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    8. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
    9. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    10. Victor Olkhov, 2020. "Price, Volatility and the Second-Order Economic Theory," Papers 2009.14278, arXiv.org, revised Apr 2021.
    11. 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, Department of Economics and Business Economics, Aarhus University.
    12. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 251-254.
    13. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
    14. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
    15. 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.).
    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.
    17. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series 2387, CESifo.
    18. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    19. ZHU, Dongming & ZINDE-WALSH, Victoria, 2007. "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche 13-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    20. Rime, Dagfinn & Sucarrat, Genaro, 2007. "Exchange rate variability, market activity and heterogeneity," UC3M Working papers. Economics we077039, Universidad Carlos III de Madrid. Departamento de Economía.
    21. Bauer, Gregory H. & Vorkink, Keith, 2011. "Forecasting multivariate realized stock market volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 93-101, January.
    22. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    23. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
    24. SUCARRAT, Genaro, 2006. "The first stage in Hendry’s reduction theory revisited," LIDAM Discussion Papers CORE 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    25. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    26. Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
    27. 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.
    28. Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008. "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper 1173, Economics Department, Queen's University.
    29. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
    30. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    31. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    32. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
    33. 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.
    34. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
    35. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
    36. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    37. Qinkai Chen & Christian-Yann Robert, 2021. "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers 2112.09015, arXiv.org, revised Dec 2021.
    38. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
    39. Andrew Clare & Roger Courtenay, 2001. "Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes," Bank of England working papers 125, Bank of England.
    40. Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Apr 2024.
    41. Bistra Radeva, 2019. "Stock price fluctuations and GARCH modelling of stock market indexes," Economics and computer science, Publishing house "Knowledge and business" Varna, issue 3, pages 6-19.
    42. Wang, Weichen & An, Ran & Zhu, Ziwei, 2024. "Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective," Journal of Econometrics, Elsevier, vol. 239(2).
    43. Sizova, Natalia, 2011. "Integrated variance forecasting: Model based vs. reduced form," Journal of Econometrics, Elsevier, vol. 162(2), pages 294-311, June.
    44. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.
    45. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
    46. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
    47. Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.

  34. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).

    Cited by:

    1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    2. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    3. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    4. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    5. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    6. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
    7. 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.
    8. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    9. Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009. "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies 2009,07, Deutsche Bundesbank.
    10. Erie Febrian & Aldrin Herwany, 2009. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Economics and Development Studies (WoPEDS) 200907, Department of Economics, Padjadjaran University, revised Sep 2009.
    11. Bibinger, Markus & Winkelmann, Lars, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers 2014-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    13. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    14. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    15. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    16. 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.
    17. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    18. Erie Febrian & Aldrin Herwany, 2009. "Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling," Working Papers in Economics and Development Studies (WoPEDS) 200908, Department of Economics, Padjadjaran University, revised Sep 2009.
    19. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
    20. 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.
    21. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    22. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    23. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    24. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    25. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    26. Othmar M. Lehner, 2013. "Crowdfunding social ventures: a model and research agenda," Venture Capital, Taylor & Francis Journals, vol. 15(4), pages 289-311, October.
    27. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    28. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    29. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    30. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
    31. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
    32. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    33. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    34. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    35. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).
    36. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.

  35. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).

    Cited by:

    1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    2. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    3. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    4. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    5. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    6. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
    7. 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.
    8. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    9. Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009. "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies 2009,07, Deutsche Bundesbank.
    10. Erie Febrian & Aldrin Herwany, 2009. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Economics and Development Studies (WoPEDS) 200907, Department of Economics, Padjadjaran University, revised Sep 2009.
    11. Bibinger, Markus & Winkelmann, Lars, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers 2014-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    13. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    14. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    15. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    16. 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.
    17. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    18. Erie Febrian & Aldrin Herwany, 2009. "Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling," Working Papers in Economics and Development Studies (WoPEDS) 200908, Department of Economics, Padjadjaran University, revised Sep 2009.
    19. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
    20. 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.
    21. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    22. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    23. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    24. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    25. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    26. Othmar M. Lehner, 2013. "Crowdfunding social ventures: a model and research agenda," Venture Capital, Taylor & Francis Journals, vol. 15(4), pages 289-311, October.
    27. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    28. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    29. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    30. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
    31. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
    32. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    33. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    34. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    35. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).
    36. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.

  36. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).

    Cited by:

    1. 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.
    2. Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers 22481, East Asian Bureau of Economic Research.
    3. Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
    4. Zareipour, Hamidreza & Bhattacharya, Kankar & Canizares, Claudio A., 2007. "Electricity market price volatility: The case of Ontario," Energy Policy, Elsevier, vol. 35(9), pages 4739-4748, September.
    5. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    6. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
    7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    8. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
    9. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    10. Victor Olkhov, 2020. "Price, Volatility and the Second-Order Economic Theory," Papers 2009.14278, arXiv.org, revised Apr 2021.
    11. 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, Department of Economics and Business Economics, Aarhus University.
    12. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 251-254.
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    14. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
    15. 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.).
    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.
    17. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series 2387, CESifo.
    18. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    19. ZHU, Dongming & ZINDE-WALSH, Victoria, 2007. "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche 13-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    20. Rime, Dagfinn & Sucarrat, Genaro, 2007. "Exchange rate variability, market activity and heterogeneity," UC3M Working papers. Economics we077039, Universidad Carlos III de Madrid. Departamento de Economía.
    21. Bauer, Gregory H. & Vorkink, Keith, 2011. "Forecasting multivariate realized stock market volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 93-101, January.
    22. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    23. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
    24. SUCARRAT, Genaro, 2006. "The first stage in Hendry’s reduction theory revisited," LIDAM Discussion Papers CORE 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    25. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    26. Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
    27. 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.
    28. Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008. "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper 1173, Economics Department, Queen's University.
    29. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
    30. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    31. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    32. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
    33. 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.
    34. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
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    36. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
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  37. Peter Christoffersen & Silvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO.

    Cited by:

    1. A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
    2. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    3. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
    4. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," Economics Discussion Paper Series 1115, Economics, The University of Manchester.
    5. Dannenberg, Henry, 2011. "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers 11/2011, Halle Institute for Economic Research (IWH).
    6. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
    7. Hasan Mahmoud & Vian Ahmed & Salwa Beheiry, 2021. "Construction Cash Flow Risk Index," JRFM, MDPI, vol. 14(6), pages 1-17, June.
    8. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
    9. Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372, Edward Elgar Publishing.
    10. Genest, Benoit & Cao, Zhili, 2014. "Value-at-Risk in turbulence time," MPRA Paper 62906, University Library of Munich, Germany.
    11. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
    12. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
    13. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. International Monetary Fund, 2014. "Switzerland: Technical Note-Systemic Risk and Contagion Analysis," IMF Staff Country Reports 2014/268, International Monetary Fund.
    15. Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Imola Drigă, 2012. "Financial Risks Analysis For A Commercial Bank In The Romanian Banking System," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(14), pages 1-14.

  38. Peter Christoffersen & Stefano Mazzotta, 2004. "The Informational Content of Over-the-Counter Currency Options," CIRANO Working Papers 2004s-16, CIRANO.

    Cited by:

    1. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
    2. Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008. "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 33-52, May.
    3. Guillermo Benavides, 2011. "Central Bank Exchange Rate Interventions and Market Expectations: The Case of México During the Financial Crisis 2008-2009," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 5-27, Julio-Dic.

  39. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.

    Cited by:

    1. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
    2. A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
    3. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    4. Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi, 2024. "Mean–variance optimization under affine GARCH: A utility-based solution," Finance Research Letters, Elsevier, vol. 59(C).
    5. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
    6. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    7. Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2024. "Optimal consumption and investment in general affine GARCH models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(3), pages 987-1026, September.
    8. Shih-Feng Huang & Meihui Guo, 2014. "Model risk of the implied GARCH-normal model," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2215-2224, December.
    9. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    10. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
    11. Escobar-Anel, Marcos & Gollart, Maximilian & Zagst, Rudi, 2022. "Closed-form portfolio optimization under GARCH models," Operations Research Perspectives, Elsevier, vol. 9(C).
    12. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
    13. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    14. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
    15. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    17. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
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    21. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    22. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    23. Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
    24. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Post-Print halshs-00281585, HAL.
    25. Dovonon, Prosper, 2008. "Conditionally heteroskedastic factor models with skewness and leverage effects," MPRA Paper 40206, University Library of Munich, Germany, revised Feb 2012.
    26. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
    27. Yan Liu & Xiong Zhang, 2023. "Option Pricing Using LSTM: A Perspective of Realized Skewness," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
    28. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    29. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
    30. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
    31. Lhuissier Stéphane, 2022. "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers 863, Banque de France.
    32. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    33. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
    34. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021. "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, vol. 289(1), pages 350-363.
    35. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    36. Gurdip Bakshi & Dilip Madan, 2006. "A Theory of Volatility Spreads," Management Science, INFORMS, vol. 52(12), pages 1945-1956, December.
    37. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    38. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    39. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    40. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    41. Xinglin Yang & Peng Wang, 2018. "VIX futures pricing with conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1126-1151, September.
    42. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    43. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Post-Print hal-00511965, HAL.
    44. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    45. Kyungsub Lee & Byoung Ki Seo, 2017. "Performance of Tail Hedged Portfolio with Third Moment Variation Swap," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 447-471, October.
    46. Ballestra, Luca Vincenzo & D’Innocenzo, Enzo & Guizzardi, Andrea, 2024. "A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1185-1194.
    47. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    48. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
    49. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
    50. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    51. Mohammad Abedi & Daniel Bartolomeo, 2019. "Entropic Dynamics of Stocks and European Options," Papers 1908.06355, arXiv.org.
    52. Stéphane Lhuissier, 2019. "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers 726, Banque de France.
    53. Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
    54. Mozumder, Sharif & Frijns, Bart & Talukdar, Bakhtear & Kabir, M. Humayun, 2024. "On practitioners closed-form GARCH option pricing," International Review of Financial Analysis, Elsevier, vol. 94(C).
    55. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Post-Print halshs-00469529, HAL.
    56. Rachidi Kotchoni, 2018. "Detecting and Measuring Nonlinearity," Econometrics, MDPI, vol. 6(3), pages 1-27, August.
    57. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
    58. Carlos Esparcia & Elena Ibañez & Francisco Jareño, 2020. "Volatility Timing: Pricing Barrier Options on DAX XETRA Index," Mathematics, MDPI, vol. 8(5), pages 1-25, May.
    59. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, Department of Economics and Business Economics, Aarhus University.
    60. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
    61. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    62. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
    63. Edoardo Berton & Lorenzo Mercuri, 2021. "An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model," Papers 2112.11968, arXiv.org, revised Feb 2023.
    64. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
    65. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
    66. Carol Alexander & Emese Lazar, 2009. "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.
    67. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, Department of Economics and Business Economics, Aarhus University.
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    69. Hongkai Cao & Rupak Chatterjee & Zhenyu Cui, 2019. "Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-37, September.
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    105. Sanjiv Jaggia & Alison Kelly-Hawke, 2009. "Modelling skewness and elongation in financial returns: the case of exchange-traded funds," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1305-1316.
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  40. Peter Christoffersen & Hyunchul Chung & Vihang Errunza, 2003. "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," CIRANO Working Papers 2003s-13, CIRANO.

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    1. Richard Podpiera & Tomás Dvorák, 2005. "European Union Enlargement and Equity Markets in Accession Countries," IMF Working Papers 2005/182, International Monetary Fund.

  41. Marcel Boyer & Peter Christoffersen & Pierre Lasserre & Andrey Pavlov, 2003. "Value creation, risk management, and real options," CIRANO Burgundy Reports 2003rb-02, CIRANO.

    Cited by:

    1. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
    2. Marcel Boyer & Éric Gravel, 2003. "Real Options at Bell Canada," CIRANO Project Reports 2003rp-01, CIRANO.

  42. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.

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    5. Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics.
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    8. Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010. "Asymmetry and Long Memory in Volatility Modelling," Econometric Institute Research Papers EI 2010-60, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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    44. Bagher Adabi & Mohsen Mehrara & Shapour Mohammadi, 2015. "Evaluation Approaches of Value at Risk for Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(1), pages 41-62, Winter.
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    47. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
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    52. Andrej Stenšin & Daumantas Bloznelis, 2022. "Copulas and Portfolios in the Electric Vehicle Sector," JRFM, MDPI, vol. 15(3), pages 1-20, March.
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    57. Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
    58. Zhi-Fu Mi & Yi-Ming Wei & Bao-Jun Tang & Rong-Gang Cong & Hao Yu & Hong Cao & Dabo Guan, 2017. "Risk assessment of oil price from static and dynamic modelling approaches," CEEP-BIT Working Papers 102, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    59. 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.
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    106. Gneiting, Tilmann, 2011. "Quantiles as optimal point forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 197-207.
    107. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
    108. Luis H. R. Alvarez E. & Paavo Salminen, 2017. "Timing in the presence of directional predictability: optimal stopping of skew Brownian motion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(2), pages 377-400, October.
    109. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
    110. Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
    111. Chevapatrakul, Thanaset, 2013. "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2342-2353.
    112. Perry Sadorsky, 2021. "A Random Forests Approach to Predicting Clean Energy Stock Prices," JRFM, MDPI, vol. 14(2), pages 1-20, January.
    113. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
    114. Bekiros, Stelios D., 2010. "Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets," European Journal of Operational Research, Elsevier, vol. 202(1), pages 285-293, April.
    115. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.

  45. Peter Christoffersen & Andrey Pavlov, 2003. "Company Flexibility, the Value of Management and Managerial Compensation," CIRANO Working Papers 2003s-06, CIRANO.

    Cited by:

    1. Marcel Boyer & Éric Gravel, 2003. "Real Options at Bell Canada," CIRANO Project Reports 2003rp-01, CIRANO.

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

    Cited by:

    1. 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.
    2. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
    3. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
    4. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(4), pages 1244-1281, November.
    5. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
    6. Aviral Kumar Tiwari & Muhammad Shahbaz & Rabeh Khalfaoui & Rizwan Ahmed & Shawkat Hammoudeh, 2024. "Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1): New evidence from cross‐quantilogram approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 719-789, January.
    7. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series 463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.

  47. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.

    Cited by:

    1. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
    2. Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
    3. Peter Christoffersen & Kris Dorion & Yintian Wang, 2008. "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers 2008-10, Department of Economics and Business Economics, Aarhus University.
    4. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
    5. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
    6. Duan, Jin-Chuan & Wei, Jason, 2005. "Executive stock options and incentive effects due to systematic risk," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1185-1211, May.

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

    Cited by:

    1. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
    2. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
    3. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
    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.
    5. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
    6. Bruce Mizrach, 2002. "When Did The Smart Money in Enron Lose Its' Smirk?," Departmental Working Papers 200224, Rutgers University, Department of Economics.
    7. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
    8. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

  49. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO.

    Cited by:

    1. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    3. Giacomini, Raffaella & Komunjer, Ivana, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series qt4n99t4wz, Department of Economics, UC San Diego.
    4. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    5. Kimera Naradh & Retius Chifurira & Knowledge Chinhamu, 2022. "Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 11(1), pages 120-131, January.
    6. Wong, Woon K., 2010. "Backtesting value-at-risk based on tail losses," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 526-538, June.
    7. Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
    8. David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Financial Dependence Analysis: Applications of Vine Copulae," Tinbergen Institute Discussion Papers 13-022/III, Tinbergen Institute.
    9. Ngozi G. Emenogu & Monday Osagie Adenomon & Nwaze Obini Nweze, 2020. "On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-25, December.
    10. Cocca, Teodoro & Gabauer, David & Pomberger, Stefan, 2024. "Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures," Energy Economics, Elsevier, vol. 136(C).
    11. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and Risk Modelling using Applications of Vine Copulas," Tinbergen Institute Discussion Papers 14-054/III, Tinbergen Institute.
    12. Santos, André A. P. & Nogales, Francisco J., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, LAR Center Press, vol. 1(1), pages 20-44, December.
    14. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    15. Abdul Hakim, 2009. "Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(1), pages 13-26, April.
    16. Hasna Fadhila & Nora Amelda Rizal, 2013. "Analysis of Risk using Value at Risk (VaR) After Crisis in 2008 Study in Stocks of Bank Mandiri, Bank BRI and Bank BNI in 2009-2011," Information Management and Business Review, AMH International, vol. 5(8), pages 394-400.
    17. 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 and International Relations Area.
    18. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
    19. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
    20. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
    21. Sueishi, Naoya, 2013. "Identification problem of the exponential tilting estimator under misspecification," Economics Letters, Elsevier, vol. 118(3), pages 509-511.
    22. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
    23. Minglian Lin & Indranil SenGupta & William Wilson, 2023. "Estimation of VaR with jump process: application in corn and soybean markets," Papers 2311.00832, arXiv.org, revised Jun 2024.
    24. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
    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.
    26. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
    27. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    28. Jakub Micha'nk'ow & {L}ukasz Kwiatkowski & Janusz Morajda, 2023. "Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting," Papers 2310.01063, arXiv.org.
    29. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
    30. Wessam Abouarghoub & Iris Biefang-Frisancho Mariscal, 2013. "Measuring the level of risk exposure in tanker shipping freight markets," Working Papers 20131313, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    31. Metiu, N., 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    32. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
    33. Schmidt, Ulrich, 2003. "The axiomatic basis of risk-value models," European Journal of Operational Research, Elsevier, vol. 145(1), pages 216-220, February.
    34. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    35. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
    36. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    37. Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," JRFM, MDPI, vol. 9(3), pages 1-20, September.
    38. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
    39. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    40. Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016. "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 29-52, June.
    41. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
    42. Kerkhof, F.L.J. & Melenberg, B., 2002. "Backtesting for Risk-Based Regulatory Capital," Other publications TiSEM 2363cf81-9720-41f2-913c-f, Tilburg University, School of Economics and Management.
    43. L. Kourouma & Denis Dupré & G. Sanfilippo & O. Taramasco, 2011. "Extreme Value at Risk and Expected Shortfall during Financial Crisis," Post-Print halshs-00658495, HAL.
    44. Otsu, Taisuke, 2008. "Conditional empirical likelihood estimation and inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 142(1), pages 508-538, January.
    45. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
    46. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
    47. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
    48. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    49. 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.
    50. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    51. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    52. Kerkhof, Jeroen & Melenberg, Bertrand, 2004. "Backtesting for risk-based regulatory capital," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1845-1865, August.
    53. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    54. Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza [Consistency in the evaluation of financial investment perform," MPRA Paper 31301, University Library of Munich, Germany.
    55. David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
    56. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Leibniz Institute for Financial Research SAFE.
    57. Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020. "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers 2011.06693, arXiv.org.
    58. Tomáš Jeøábek, 2020. "The Efficiency of GARCH Models in Realizing Value at Risk Estimates," ACTA VSFS, University of Finance and Administration, vol. 14(1), pages 32-50.
    59. Lehar, Alfred & Scheicher, Martin & Schittenkopf, Christian, 2002. "GARCH vs. stochastic volatility: Option pricing and risk management," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 323-345, March.
    60. Siva Kiran GUPTHA. K & Prabhakar RAO. R, 2019. "GARCH based VaR estimation: An empirical evidence from BRICS stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(621), W), pages 201-218, Winter.
    61. Georgios Fatouros & Georgios Makridis & Dimitrios Kotios & John Soldatos & Michael Filippakis & Dimosthenis Kyriazis, 2023. "DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks," Digital Finance, Springer, vol. 5(1), pages 29-56, March.
    62. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
    63. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
    64. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
    65. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.
    66. 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.
    67. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
    68. Isengildina-Massa, Olga & Sharp, Julia L., 2013. "Interval Forecast Comparison," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150791, Agricultural and Applied Economics Association.
    69. Cerović Julija & Lipovina-Božović Milena & Vujošević Saša, 2015. "A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro," Business Systems Research, Sciendo, vol. 6(1), pages 36-55, March.

  50. Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers 2001s-44, CIRANO.

    Cited by:

    1. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    2. 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.).
    3. Bernard Sinclair-Desgagné, 2001. "Incentives in Common Agency," CIRANO Working Papers 2001s-66, CIRANO.
    4. mamatzakis, e & Christodoulakis, G, 2013. "Behavioural Asymmetries in the G7 Foreign Exchange Market," MPRA Paper 51615, University Library of Munich, Germany.
    5. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    6. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
    7. Christoffersen, Peter & Errunza, Vihang, 2000. "Towards a global financial architecture: capital mobility and risk management issues," Emerging Markets Review, Elsevier, vol. 1(1), pages 3-20, May.
    8. Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
    9. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
    10. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    11. Richard Lajeunesse & Paul Lanoie & Michel Patry, 2001. "Environmental Regulation and Productivity: New Findings on the Porter Analysis," CIRANO Working Papers 2001s-53, CIRANO.
    12. Vrugt, Evert B., 2009. "U.S. and Japanese macroeconomic news and stock market volatility in Asia-Pacific," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 611-627, November.
    13. Ngo Van Long & Koji Shimomura, 2002. "Relative Wealth, Status Seeking, and Catching Up," CIRANO Working Papers 2002s-09, CIRANO.
    14. 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.
    15. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
    16. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    17. 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, vol. 88(Jan), pages 81-93.
    18. Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
    19. John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001. "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers 2001s-61, CIRANO.
    20. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 235-249.

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

    Cited by:

    1. Juha Junttila, 2007. "Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States," Review of Financial Economics, John Wiley & Sons, vol. 16(2), pages 149-175.
    2. Bhupal Singh, 2012. "How important is the stock market wealth effect on consumption in India?," Empirical Economics, Springer, vol. 42(3), pages 915-927, June.
    3. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
    4. Mr. Norbert Funke, 2002. "Stock Market Developments and Private Consumer Spending in Emerging Markets," IMF Working Papers 2002/238, International Monetary Fund.
    5. Hayo, Bernd & Kutan, Ali M., 2002. "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers B 20-2002, University of Bonn, ZEI - Center for European Integration Studies.
    6. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal, 2019. "China's “New normal”: Will China's growth slowdown derail the BRICS stock markets?," International Economics, Elsevier, vol. 159(C), pages 121-139.
    7. Bernd Hayo & Ali M. Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," William Davidson Institute Working Papers Series 2004-656, William Davidson Institute at the University of Michigan.
    8. Gongpil Choi, 2001. "Structural changes and the scope of inflation targeting in Korea," Pacific Basin Working Paper Series 2001-05, Federal Reserve Bank of San Francisco.
    9. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
    10. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
    11. Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 668-685, May.
    12. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
    13. Burkhard Raunig, 2007. "Are economic tracking portfolios useful for forecasting output and inflation in Austria?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1043-1049.
    14. Gongpil Choi, 2003. "The Choice of Monetary Regime for Post-Crisis Asia. The Case of South Korea," Revue économique, Presses de Sciences-Po, vol. 54(5), pages 1137-1160.
    15. 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, Universidad Alberto Hurtado/School of Economics and Business, vol. 18(2), pages 33-66, December.

  52. Mr. Peter F. Christoffersen & Mr. Robert F. Westcott, 1999. "Is Poland Ready for Inflation Targeting?," IMF Working Papers 1999/041, 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, University Library of Munich, Germany.
    2. Willem H. Buiter & Clemens Grafe, 2002. "Anchor, float or abandon ship: exchange rate regimes for the accession countries," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 55(221), pages 111-142.
    3. Bank for International Settlements, 2008. "Financial globalisation and emerging market capital flows," BIS Papers, Bank for International Settlements, number 44, October –.
    4. Gottschalk, Jan & Moore, David, 2001. "Implementing Inflation Targeting Regimes: The Case of Poland," Journal of Comparative Economics, Elsevier, vol. 29(1), pages 24-39, March.
    5. Virginie Coudert & Jean-Patrick Yanitch, 2001. "Les stratégies de change des pays d'Europe Centrale et Orientale candidats à l'Union européenne," Revue d'Économie Financière, Programme National Persée, vol. 6(1), pages 381-397.
    6. 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.
    7. Mark Hallerberg & Lúcio Vinhas de Souza, 2000. "The Political Business Cycles of EU Accession Countries," Tinbergen Institute Discussion Papers 00-085/2, Tinbergen Institute.
    8. Lucjan T Orlowski, 2005. "Monetary Policy Adjustments on the Final Passage towards the Euro," Macroeconomics 0503022, University Library of Munich, Germany.
    9. Jerzy Pruski & Piotr Szpunar, 2008. "Capital flows and their implications for monetary and financial stability: the experience of Poland," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial globalisation and emerging market capital flows, volume 44, pages 403-421, Bank for International Settlements.
    10. Helena Horská, 2002. "Inflation targeting in poland (a comparison with the czech republic)," Prague Economic Papers, Prague University of Economics and Business, vol. 2002(3), pages 237-254.
    11. Lyziak, Tomasz & Mackiewicz, Joanna & Stanislawska, Ewa, 2007. "Central bank transparency and credibility: The case of Poland, 1998-2004," European Journal of Political Economy, Elsevier, vol. 23(1), pages 67-87, March.
    12. Lucjan T Orlowski, 2005. "A Dynamic Approach to Inflation Targeting in Transition Economies," Macroeconomics 0501038, University Library of Munich, Germany.
    13. Virginie Coudert & Jean-Patrick Yanitch, 2001. "The Exchange Rate Strategies Adopted by the EU Accession Countries of Central and Eastern Europe," Revue d'Économie Financière, Programme National Persée, vol. 6(1), pages 345-360.
    14. Orlowski, Lucjan T., 2004. "Money rules for the eurozone candidate countries," ZEI Working Papers B 05-2004, University of Bonn, ZEI - Center for European Integration Studies.
    15. Siklos, Pierre L. & Abel, Istvan, 2002. "Is Hungary ready for inflation targeting?," Economic Systems, Elsevier, vol. 26(4), pages 309-333, December.
    16. 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.
    17. 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.
    18. Peter Backé & Jarko Fidrmuc & Thomas Reininger & Franz Schardax, 2002. "Price Dynamics in Central and Eastern European EU Accession," Working Papers 61, Oesterreichische Nationalbank (Austrian Central Bank).
    19. Michał Brzoza‐Brzezina, 2006. "The information content of the neutral rate of interest," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 14(2), pages 391-412, April.

  53. Mr. Peter F. Christoffersen & Mr. Lorenzo Giorgianni, 1999. "Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," IMF Working Papers 1999/016, International Monetary Fund.

    Cited by:

    1. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
    2. Robin L. Lumsdaine & Mr. Eswar S Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations: A New Approach," IMF Working Papers 1999/154, International Monetary Fund.
    3. Christoffersen, Peter & Errunza, Vihang, 2000. "Towards a global financial architecture: capital mobility and risk management issues," Emerging Markets Review, Elsevier, vol. 1(1), pages 3-20, May.
    4. Mercurio, Danilo & Torricelli, Costanza, 2001. "Estimation and arbitrage opportunities for exchange rate baskets," SFB 373 Discussion Papers 2001,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Imad Moosa, 2011. "The profitability of interest arbitrage when the base currency is pegged to a basket," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 267-281, October.
    6. Moosa, Imad A., 2011. "Exchange Rate Regime Shift in Reaction to a Changing Environment: A Case Study of Kuwait - Modifiche del regime dei tassi di cambio a seguito di modifiche nelle condizioni del sistema: il caso del Kuw," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 64(2), pages 237-255.

  54. 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.

    Cited by:

    1. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
    2. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
    3. Victor Chernozhukov & Iván Fernández-Val, 2011. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 559-589.
    4. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    5. Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 58-70.
    6. Dany Rogers Silva & Karem Cristina de Sousa Ribeiro & Hsia Hua Sheng, 2011. "Trade credit profitability measurement: application in a wholesalerdistributor case," Brazilian Business Review, Fucape Business School, vol. 8(2), pages 22-41, April.
    7. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
    8. 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.

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

    Cited by:

    1. Rusinova, Desislava, 2007. "Growth in transition: Reexamining the roles of factor inputs and geography," Economic Systems, Elsevier, vol. 31(3), pages 233-255, September.
    2. 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, University Library of Munich, Germany.
    3. Tsionas, Efthymios G. & Christopoulos, Dimitris K., 2003. "Maastricht convergence and real convergence: European evidence from threshold and smooth transition regression models," Journal of Policy Modeling, Elsevier, vol. 25(1), pages 43-52, January.
    4. Richard Pomfret, 2003. "Trade and Exchange Rate Policies in Formerly Centrally Planned Economies," The World Economy, Wiley Blackwell, vol. 26(4), pages 585-612, April.
    5. Imran Shah & Ian Corrick, 2016. "How Should Central Banks Respond to Non-neutral Inflation Expectations?," Department of Economics Working Papers 64/17, University of Bath, Department of Economics.
    6. Richard Pomfret, 2009. "Central Asia after Two Decades of Independence," School of Economics and Public Policy Working Papers 2009-32, University of Adelaide, School of Economics and Public Policy.
    7. Nauro F. Campos & Abrizio Coricelli, 2002. "Growth in Transition: What We Know, What We Don't, and What We Should," Journal of Economic Literature, American Economic Association, vol. 40(3), pages 793-836, September.
    8. Adolfo Cristobal-Campoamor & Osiris Parcero, 2013. "Behind the Eastern–Western European convergence path: the role of geography and trade liberalization," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 51(3), pages 871-891, December.
    9. 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).
    10. Özbilgin, Murat H., 2012. "Currency substitution, inflation, and welfare," Journal of Development Economics, Elsevier, vol. 99(2), pages 358-369.
    11. Burdekin, Richard C.K. & Denzau, Arthur T. & Keil, Manfred W. & Sitthiyot, Thitithep & Willett, Thomas D., 2004. "When does inflation hurt economic growth? Different nonlinearities for different economies," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 519-532, September.
    12. Robert E. Baldwin, 2004. "Openness and Growth: What's the Empirical Relationship?," NBER Chapters, in: Challenges to Globalization: Analyzing the Economics, pages 499-521, National Bureau of Economic Research, Inc.
    13. Pirttilä, Jukka, 2000. "Fiscal policy and structural reforms in transition economies: An empirical analysis," BOFIT Discussion Papers 5/2000, Bank of Finland Institute for Emerging Economies (BOFIT).
    14. Peter Huber & Herbert Brücker & Janos Köllö & Iulia Traistaru & Tomasz Mickiewicz, 2002. "Regional and Labour Market Development in Candidate Countries. A Literature Survey," WIFO Studies, WIFO, number 23340.
    15. Yifru, Tigist, 2015. "Impact Of Agricultural Exports On Economic Growth In Ethiopia: The Case Of Coffee, Oilseed And Pulses," Research Theses 265676, Collaborative Masters Program in Agricultural and Applied Economics.
    16. Mr. Serhan Cevik, 2022. "Mind the Gap: City-Level Inflation Synchronization," IMF Working Papers 2022/166, International Monetary Fund.
    17. Mr. Sanjeev Gupta & Mr. Alejandro Simone & Mr. Alex Segura-Ubiergo, 2006. "New Evidence on Fiscal Adjustment and Growth in Transition Economies," IMF Working Papers 2006/244, International Monetary Fund.
    18. Yifru, Tigist, 2015. "Impact of Agricultural Exports on Economic Growth in Ethiopia: The Case of Coffee, Oilseed and Pulses," Research Theses 243473, Collaborative Masters Program in Agricultural and Applied Economics.
    19. Jesús Crespo Cuaresma & Maria Antoinette Silgoner, 2004. "Growth effects of inflation in Europe: How low is too low, how high is too high?," Vienna Economics Papers vie0411, University of Vienna, Department of Economics.
    20. Dalibor Roháč, 2013. "What Are the Lessons from Post-Communist Transitions?," Economic Affairs, Wiley Blackwell, vol. 33(1), pages 65-77, February.
    21. Longmire, James L. & 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.
    22. Mr. Tonny Lybek, 1999. "Central Bank Autonomy, and Inflation and Output Performance in the Baltic States, Russia, and Other Countries of the Former Soviet Union, 1995-1997," IMF Working Papers 1999/004, International Monetary Fund.
    23. Nicas Yabu & Nicholaus J. Kessy, 2015. "Appropriate Threshold Level of Inflation for Economic Growth: Evidence from the Three Founding EAC Countries," Applied Economics and Finance, Redfame publishing, vol. 2(3), pages 127-144, August.
    24. Iwasaki, Ichiro & 岩﨑, 一郎 & イワサキ, イチロウ, 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.
    25. Kravtsova, Victoria & Radosevic, Slavo, 2012. "Are systems of innovation in Eastern Europe efficient?," Economic Systems, Elsevier, vol. 36(1), pages 109-126.
    26. 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.
    27. 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.
    28. Adolfo Cristobal Campoamor & Osiris Jorge Parcero, 2024. "Behind the Eastern-Western European convergence path: the role of geography and trade liberalization," Papers 2401.05107, arXiv.org.
    29. Marek Dabrowski, 1999. "Disinflation, Monetary Policy and Fiscal Constraints. Experience of the Countries in Transition," CASE Network Reports 0016, CASE-Center for Social and Economic Research.
    30. 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.
    31. Hala Abou-Ali & Hanaa Kheir-El-Din, 2009. "Inflation And Growth In Egypt: Is There A Threshold Effect?," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 59-78.
    32. Axel Gerloff, 2000. "Stylized facts about stabilization in central and eastern Europe," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(2), pages 127-149, May.
    33. Uzair Hassan Khan & Muhammad Daniyal Imran, 2023. "Relationship between Inflation and Other Macro Economics Factors: Comparative Study of Germany, Japan and New Zealand," Journal of Economic Impact, Science Impact Publishers, vol. 5(1), pages 76-87.
    34. 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.
    35. 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.
    36. López-Villavicencio, Antonia & Mignon, Valérie, 2011. "On the impact of inflation on output growth: Does the level of inflation matter?," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 455-464, September.
    37. Barlow, David, 2010. "How did structural reform influence inflation in transition economies?," Economic Systems, Elsevier, vol. 34(2), pages 198-210, June.

  56. 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.

    Cited by:

    1. Antonio Rubia & Trino-Manuel Ñíguez, 2006. "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 439-458.
    2. 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.
    3. 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.).
    4. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
    5. Li, Xingyi & Zakamulin, Valeriy, 2020. "The term structure of volatility predictability," International Journal of Forecasting, Elsevier, vol. 36(2), pages 723-737.
    6. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    7. Christoffersen, Peter & Errunza, Vihang, 2000. "Towards a global financial architecture: capital mobility and risk management issues," Emerging Markets Review, Elsevier, vol. 1(1), pages 3-20, May.
    8. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    9. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
    10. Kevin Dowd & David Blake & Andrew Cairns, 2004. "Long‐Term Value at Risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 5(2), pages 52-57, February.
    11. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    12. Aboura, Sofiane & Chevallier, Julien, 2018. "Tail risk and the return-volatility relation," Research in International Business and Finance, Elsevier, vol. 46(C), pages 16-29.
    13. Luca Spadafora & Marco Dubrovich & Marcello Terraneo, 2014. "Value-at-Risk time scaling for long-term risk estimation," Papers 1408.2462, arXiv.org.
    14. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
    15. Beverly 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.
    16. Kavussanos, Manolis G. & Dimitrakopoulos, Dimitris N., 2011. "Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 258-268.
    17. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
    18. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    19. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, October.
    20. Durán Santomil, Pablo & Otero González, Luís & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2018. "Backtesting an equity risk model under Solvency II," Journal of Business Research, Elsevier, vol. 89(C), pages 216-222.
    21. Gregory, Allan W. & Reeves, Jonathan J., 2008. "Interpreting Value at Risk (VaR) forecasts," Economic Systems, Elsevier, vol. 32(2), pages 167-176, June.
    22. Douglas D. Evanoff & Larry D. Wall, 2000. "Subordinated debt and bank capital reform," Working Paper Series WP-00-7, Federal Reserve Bank of Chicago.
    23. D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
    24. Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," PSE-Ecole d'économie de Paris (Postprint) halshs-00375765, HAL.
    25. 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.
    26. Ho, Lan-Chih & Burridge, Peter & Cadle, John & Theobald, Michael, 2000. "Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 249-275, May.

  57. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-080, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. 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.
    2. Egelkraut, Thorsten M. & Garcia, Philip, 2005. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19033, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
    4. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
    5. Yi Yang & Kunpeng Zhang & Yangyang Fan, 2022. "Analyzing Firm Reports for Volatility Prediction: A Knowledge-Driven Text-Embedding Approach," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 522-540, January.
    6. Odening, Martin & Hinrichs, Jan, 2003. "Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 52(02), pages 1-11.
    7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    8. Turan G. Bali, 2007. "A Generalized Extreme Value Approach to Financial Risk Measurement," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1613-1649, October.
    9. Tang, Ta-Lun & Shieh, Shwu-Jane, 2006. "Long memory in stock index futures markets: A value-at-risk approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 437-448.
    10. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    11. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
    12. Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
    13. DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
    14. Wong, Woon K., 2010. "Backtesting value-at-risk based on tail losses," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 526-538, June.
    15. Raunig, Burkhard, 2006. "The longer-horizon predictability of German stock market volatility," International Journal of Forecasting, Elsevier, vol. 22(2), pages 363-372.
    16. Galbraith, John W. & KI[#x1e63]Inbay, Turgut, 2005. "Content horizons for conditional variance forecasts," International Journal of Forecasting, Elsevier, vol. 21(2), pages 249-260.
    17. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 183-202.
    18. Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010. "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers 10/618, School of Economics, University of Bristol, UK.
    19. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    20. He, Chengying & Wen, Zhang & Huang, Ke & Ji, Xiaoqin, 2022. "Sudden shock and stock market network structure characteristics: A comparison of past crisis events," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    21. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
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    3. Barakchian , Seyed Mahdi, 2012. "Implications of Cointegration for Forecasting: A Review and an Empirical Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(1), pages 87-118, October.
    4. 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.
    5. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
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    8. 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 and International Relations Area.
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    44. Peter F. Christoffersen & Francis X. Diebold, "undated". "Optimal Prediction Under Asymmetric Loss," CARESS Working Papres 97-20, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
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    Cited by:

    1. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
    2. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    3. Edvinsson, Rodney & Hegelund, Erik, 2016. "The business cycle in historical perspective: Reconstructing quarterly data on Swedish GDP 1913-2014," Stockholm Papers in Economic History 18, Stockholm University, Department of Economic History.
    4. Louise Holm, 2016. "The Swedish business cycle, 1969-2013," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-22.
    5. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.
    6. Pedro M.D.C.B. Gouveia & Paulo M.M. Rodrigues, 2005. "Dating and Synchronizing Tourism Growth Cycles," Tourism Economics, , vol. 11(4), pages 501-515, December.
    7. Fink, Christopher & Raatz, Katharina & Weigert, Florian, 2014. "Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence," Working Papers on Finance 1415, University of St. Gallen, School of Finance.
    8. Kufenko, Vadim, 2016. "Spurious periodicities in cliometric series: Simultaneous testing," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 48/2016, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.

Articles

  1. Peter Christoffersen & Kris Jacobs & Xuhui (Nick) Pan, 2022. "The State Price Density Implied by Crude Oil Futures and Option Prices," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 1064-1103.

    Cited by:

    1. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    2. Zhou, Donghai & Liu, Xiaoxing & Tang, Chun, 2024. "Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    3. Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).

  2. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2021. "Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity [Does realized skewness predict the cross-section of equity returns?]," Review of Finance, European Finance Association, vol. 25(4), pages 1261-1298.

    Cited by:

    1. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
    2. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.

  3. Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021. "Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
    See citations under working paper version above.
  4. Ali Boloorforoosh & Peter Christoffersen & Mathieu Fournier & Christian Gouriéroux & Stijn Van Nieuwerburgh, 2020. "Beta Risk in the Cross-Section of Equities," The Review of Financial Studies, Society for Financial Studies, vol. 33(9), pages 4318-4366.

    Cited by:

    1. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    2. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    3. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).

  5. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
    See citations under working paper version above.
  6. Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
    See citations under working paper version above.
  7. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018. "Dynamic Dependence and Diversification in Corporate Credit [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, vol. 22(2), pages 521-560.

    Cited by:

    1. Karim, Sitara & Lucey, Brian M. & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2023. "The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?," Emerging Markets Review, Elsevier, vol. 54(C).
    2. Abrar, Afsheen & Naeem, Muhammad Abubakr & Karim, Sitara & Lucey, Brian M. & Vigne, Samuel A., 2024. "Shining in or fading out: Do precious metals sparkle for cryptocurrencies?," Resources Policy, Elsevier, vol. 90(C).
    3. Sihong Chen & Qi Li & Qiaoyu Wang & Yu Yvette Zhang, 2023. "Multivariate models of commodity futures markets: a dynamic copula approach," Empirical Economics, Springer, vol. 64(6), pages 3037-3057, June.
    4. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Maherzi, Teja & Kayani, Umar Nawaz, 2024. "Can green investment funds hedge climate risk?," Finance Research Letters, Elsevier, vol. 60(C).
    5. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    6. Zhang, Xuan & Kim, Minjoo & Yan, Cheng & Zhao, Yang, 2024. "Default dependence in the insurance and banking sectors: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    7. Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
    8. Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).

  8. Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018. "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 595-637.
    See citations under working paper version above.
  9. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
    See citations under working paper version above.
  10. Peter Christoffersen & Du Du & Redouane Elkamhi, 2017. "Rare Disasters, Credit, and Option Market Puzzles," Management Science, INFORMS, vol. 63(5), pages 1341-1364, May.

    Cited by:

    1. Jing-Zhi Huang & Bibo Liu & Zhan Shi, 2023. "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market," Review of Finance, European Finance Association, vol. 27(2), pages 539-579.
    2. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    3. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    4. Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.

  11. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
    See citations under working paper version above.
  12. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
    See citations under working paper version above.
  13. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2014. "Correlation dynamics and international diversification benefits," International Journal of Forecasting, Elsevier, vol. 30(3), pages 807-824.
    See citations under working paper version above.
  14. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
    See citations under working paper version above.
  15. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
    See citations under working paper version above.
  16. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
    See citations under working paper version above.
  17. Peter Christoffersen & Steven Heston & Kris Jacobs, 2013. "Capturing Option Anomalies with a Variance-Dependent Pricing Kernel," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1963-2006.

    Cited by:

    1. Turalay Kenc & Emrah Ismail Cevik & Sel Dibooglu, 2021. "Bank default indicators with volatility clustering," Annals of Finance, Springer, vol. 17(1), pages 127-151, March.
    2. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
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    4. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
    5. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    6. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
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    17. Xinglin Yang, 2018. "Good jump, bad jump, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1097-1125, September.
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    26. Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024. "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 375-406.
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    35. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).
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  26. 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," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
    See citations under working paper version above.
  27. 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.
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  28. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
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  29. Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang, 2006. "Size matters: The impact of financial liberalization on individual firms," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1296-1318, December.

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    1. Lucey, Brian M. & Zhang, QiYu, 2011. "Financial integration and emerging markets capital structure," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1228-1238, May.
    2. Vithessonthi, Chaiporn & Tongurai, Jittima, 2012. "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 16-34.
    3. David Hillier & Tiago Loncan, 2019. "Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil," European Financial Management, European Financial Management Association, vol. 25(1), pages 181-206, January.
    4. George Emmanuel Iatridis & George Kilirgiotis, 2012. "Incentives for fixed asset revaluations: the UK evidence," Journal of Applied Accounting Research, Emerald Group Publishing Limited, vol. 13(1), pages 5-20, May.
    5. Umutlu, Mehmet & Yargı, Seher Gören & Zaremba, Adam, 2023. "Market segmentation and international diversification across country and industry portfolios," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Serkan Yilmaz Kandir, 2010. "Investigating Investment Preferences of Institutional Investors toward ISE Companies," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(44), pages 29-58.
    7. Park, Haehean & Lee, Po-sang & Park, Yun W., 2020. "Information asymmetry and the effect of financial openness on firm growth and wage in emerging markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 901-916.
    8. Subashini Maniam & Chin Lee, 2018. "Stock Market Liberalization Impact on Sectoral Stock Market Return in Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 21-31.
    9. Guluzar Kurt Gumus, 2010. "The Effect of Foreign Investors on Security Markets: The Case of Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(44), pages 58-85.
    10. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
    11. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
    12. Ýhsan Ugur Delikanli, 2010. "Financial Reporting for the Repo Transactions and the Impact of Proposed Amendments in IAS 39 and IFRS 7," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(44), pages 1-28.
    13. Loncan, Tiago, 2020. "Foreign institutional ownership and corporate cash holdings: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 71(C).
    14. Na Young Park, 2017. "Where Will the ‘Silver Money’ Go?," European Financial Management, European Financial Management Association, vol. 23(3), pages 459-474, June.

  30. Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
    See citations under working paper version above.
  31. Peter Christoffersen & Stefano Mazzotta, 2005. "The Accuracy of Density Forecasts from Foreign Exchange Options," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 578-605.

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    1. Vähämaa, Sami & Krylova, Elizaveta & Nikkinen, Jussi, 2005. "Cross-dynamics of volatility term structures implied by foreign exchange options," Working Paper Series 530, European Central Bank.
    2. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    3. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series) 1227, Federal Reserve Bank of Cleveland.
    4. Pedro Serrano & Antoni Vaello‐Sebastià & M. Magdalena Vich Llompart, 2024. "International evidence of the forecasting ability of option‐implied distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1447-1464, August.
    5. José Renato Haas Ornelas, 2014. "Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies," Working Papers Series 370, Central Bank of Brazil, Research Department.
    6. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
    7. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
    8. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    9. Ammann, Manuel & Buesser, Ralf, 2013. "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 16-32.
    10. Funke, Michael & Loermann, Julius & Tsang, Andrew, 2017. "The information content in the offshore Renminbi foreign-exchange option market: Analytics and implied USD/CNH densities," BOFIT Discussion Papers 15/2017, Bank of Finland Institute for Emerging Economies (BOFIT).
    11. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
    12. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
    13. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    14. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    15. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.
    16. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    17. Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    18. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    19. Ornelas, José Renato Haas, 2016. "The Forecast Ability of Option-implied Densities from Emerging Markets Currencies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
    20. Kim, Jun Sik & Ryu, Doojin, 2015. "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, vol. 22(C), pages 43-64.
    21. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
    22. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
    23. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    24. Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
    25. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    26. Ammann, Manuel & Buesser, Ralf, 2013. "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance 1304, University of St. Gallen, School of Finance.
    27. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
    28. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    29. Thi Le & Ariful Hoque, 2022. "Pricing European Currency Options with High-Frequency Data," Risks, MDPI, vol. 10(11), pages 1-15, November.
    30. Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.
    31. Bams, Dennis & Blanchard, Gildas & Lehnert, Thorsten, 2017. "Volatility measures and Value-at-Risk," International Journal of Forecasting, Elsevier, vol. 33(4), pages 848-863.
    32. Xiao-Ming Li & Qing Xu, 2007. "Evaluating density forecasts of the model with a conditional skewed-t distribution for China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(3), pages 213-227.
    33. José Valentim Machado Vicente & Jaqueline Terra Moura Marins & Wagner Piazza Gaglianone, 2021. "Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil," Working Papers Series 552, Central Bank of Brazil, Research Department.
    34. Ariful Hoque & Chandrasekhar Krishnamurti, 2012. "Modeling moneyness volatility in measuring exchange rate volatility," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 365-380, September.

  32. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108.
    See citations under working paper version above.
  33. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.

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    1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    2. Javier Sánchez García & Salvador Cruz Rambaud, 2022. "A GARCH approach to model short‐term interest rates: Evidence from Spanish economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1621-1632, April.
    3. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
    4. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    5. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    7. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
    8. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Michèle Breton & Javier de Frutos, 2010. "Option Pricing Under GARCH Processes Using PDE Methods," Operations Research, INFORMS, vol. 58(4-part-2), pages 1148-1157, August.
    10. Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
    11. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
    12. Roy H. Kwon & Jonathan Y. Li, 2016. "A stochastic semidefinite programming approach for bounds on option pricing under regime switching," Annals of Operations Research, Springer, vol. 237(1), pages 41-75, February.
    13. Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
    15. Chuo Chang, 2020. "Dynamic correlations and distributions of stock returns on China's stock markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-6.
    16. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
    17. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
    19. Lu, Linna & Lei, Yalin & Yang, Yang & Zheng, Haoqi & Wang, Wen & Meng, Yan & Meng, Chunhong & Zha, Liqiang, 2023. "Assessing nickel sector index volatility based on quantile regression for Garch and Egarch models: Evidence from the Chinese stock market 2018–2022," Resources Policy, Elsevier, vol. 82(C).
    20. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    21. Javier de Frutos & Victor Gaton, 2017. "Chebyshev Reduced Basis Function applied to Option Valuation," Papers 1701.01429, arXiv.org, revised Jun 2017.
    22. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
    23. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    24. Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
    25. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    26. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    27. Ballestra, Luca Vincenzo & D’Innocenzo, Enzo & Guizzardi, Andrea, 2024. "A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1185-1194.
    28. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    29. Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
    30. Mozumder, Sharif & Frijns, Bart & Talukdar, Bakhtear & Kabir, M. Humayun, 2024. "On practitioners closed-form GARCH option pricing," International Review of Financial Analysis, Elsevier, vol. 94(C).
    31. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    32. Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, University of Reading.
    33. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    34. Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
    35. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
    36. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
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    38. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
    39. Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
    40. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
    41. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
    42. van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    43. Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
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    5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    6. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    7. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
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    10. Franses, Ph.H.B.F. & Legerstee, R. & Paap, R., 2011. "Estimating Loss Functions of Experts," Econometric Institute Research Papers EI2011-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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    12. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
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    29. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
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    31. 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.
    32. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
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    35. Georgios Tsiotas, 2022. "Regression Analysis Using Asymmetric Losses: A Bayesian Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 311-327, June.
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    44. Kai-Chao Yao & Hsiu-Wen Hsueh & Ming-Hsiang Huang & Tsung-Che Wu, 2022. "The Role of GARCH Effect on the Prediction of Air Pollution," Sustainability, MDPI, vol. 14(8), pages 1-20, April.
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Chapters

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
    See citations under working paper version above.
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    7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
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    16. Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2020. "Forecasting value at risk with intra-day return curves," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1023-1038.
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    41. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    42. Rene M. Stulz, 2016. "Risk management, governance, culture, and risk taking in banks," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 43-60.
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