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The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks
Citations
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- Andersen, Torben G & Sorensen, Bent E, 1996.
"GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, "undated". "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
- Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
- repec:lan:wpaper:3046 is not listed on IDEAS
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Rob Bauer & Fred Nieuwland, 1995. "A multiplicative model for volume and volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 135-154.
- Covrig, Vicentiu & Ng, Lilian, 2004. "Volume autocorrelation, information, and investor trading," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2155-2174, September.
- Melvin, Michael & Yin, Xixi, 2000.
"Public Information Arrival, Exchange Rate Volatility, and Quote Frequency,"
Economic Journal, Royal Economic Society, vol. 110(465), pages 644-661, July.
- Michael Melvin & Xixi Yin, "undated". "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
- Wen Cheong, Chin & Hassan Shaari Mohd Nor, Abu & Isa, Zaidi, 2007. "Asymmetry and long-memory volatility: Some empirical evidence using GARCH," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 651-664.
- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- repec:lan:wpaper:3324 is not listed on IDEAS
- Wang, Jianxin, 2022. "Market distraction and near-zero daily volatility persistence," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
- Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
- Terry Boulter, 2000. "Asymmetric Information Arrival and the Short-Run Dynamics of Australian Dollar Volatility: a Mixture of Distributions Approach," School of Economics and Finance Discussion Papers and Working Papers Series 073, School of Economics and Finance, Queensland University of Technology.
- Chiang, Thomas C. & Yu, Hai-Chin & Wu, Ming-Chya, 2009. "Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1555-1570.
- Martens, Martin, 2001. "Forecasting daily exchange rate volatility using intraday returns," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 1-23, February.
- Craig A. Depken, 2001.
"Good News, Bad News and Garch Effects in Stock Return Data,"
Journal of Applied Economics, Taylor & Francis Journals, vol. 4(2), pages 313-327, November.
- Craig A. Depken II, 2001. "Good News, Bad News And Garch Effects In Stock Return Data," Journal of Applied Economics, Universidad del CEMA, vol. 4, pages 313-327, November.
- Hart, Jeffrey R. & Apilado, Vince P., 2002. "Inexperienced banks and interstate mergers," Journal of Economics and Business, Elsevier, vol. 54(3), pages 313-330.
- Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
- Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019, January-A.
- Lucy Ackert & Marie Racine, 1997. "The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(4), pages 371-385, December.
- Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
- Fuertes, Ana-Maria & Izzeldin, Marwan & Kalotychou, Elena, 2009. "On forecasting daily stock volatility: The role of intraday information and market conditions," International Journal of Forecasting, Elsevier, vol. 25(2), pages 259-281.
- repec:lan:wpaper:592830 is not listed on IDEAS
- Takezawa, Nobuya, 1995. "A note on intraday foreign exchange volatility and the informational role of quote arrivals," Economics Letters, Elsevier, vol. 48(3-4), pages 399-404, June.
- Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.