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Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
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Cited by:
- Alfons Oude Lansink, 1999. "Area Allocation Under Price Uncertainty on Dutch Arable Farms," Journal of Agricultural Economics, Wiley Blackwell, vol. 50(1), pages 93-105, January.
- Sung Je Byun & Soojin Jo, 2018.
"Heterogeneity in the dynamic effects of uncertainty on investment,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(1), pages 127-155, February.
- Sung Je Byun & Soojin Jo, 2018. "Heterogeneity in the dynamic effects of uncertainty on investment," Canadian Journal of Economics, Canadian Economics Association, vol. 51(1), pages 127-155, February.
- Sungje Byun & Soojin Jo, 2015. "Heterogeneity in the Dynamic Effects of Uncertainty on Investment," Staff Working Papers 15-34, Bank of Canada.
- 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.
- Antonio Rubia Serrano & Trino-Manuel Ñíguez, 2003. "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD 2003-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Geert Bekaert & Robert J. Hodrick, 2001.
"Expectations Hypotheses Tests,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1357-1394, August.
- Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
- 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.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- Hautsch, Nikolaus & Yang, Fuyu, 2012.
"Bayesian inference in a Stochastic Volatility Nelson–Siegel model,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
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- Nijman, Theo & Sentana, Enrique, 1996.
"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
- Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
- Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
- Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
- Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
- Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008.
"Modelling multivariate volatilities via conditionally uncorrelated components,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702, September.
- Fan, Jianqing & Wang, Mingjin & Yao, Qiwei, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics 22875, London School of Economics and Political Science, LSE Library.
- Holt, Matthew T. & Moschini, GianCarlo, 1992.
"Alternative Measures Of Risk In Commodity Supply Models: An Analysis Of Sow Farrowing Decisions In The United States,"
Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 17(1), pages 1-12, July.
- Moschini, GianCarlo & Holt, Matthew, 1992. "Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States," Staff General Research Papers Archive 11252, Iowa State University, Department of Economics.
- Holt, Matthew T. & Moschini, Giancarlo, 1992. "Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States," ISU General Staff Papers 199207010700001160, Iowa State University, Department of Economics.
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- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
- Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
- Hautsch, Nikolaus & Ou, Yangguoyi, 2012.
"Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields,"
Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
- Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
- Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
- Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011.
"The effects of the subprime crisis on the Latin American financial markets: An empirical assessment,"
Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
- Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2010. "The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment," Working Papers 2010-11, CEPII research center.
- Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2012. "The effects of the subprime crisis on the Latin American financial markets: an empirical assessment," Post-Print hal-01411539, HAL.
- Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011. "The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment," Working Papers halshs-00587460, HAL.
- Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
- 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.
- Hafner, Christian M., 2000.
"Fourth moments of multivariate GARCH processes,"
SFB 373 Discussion Papers
2000,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- HAFNER, Christian, 2001. "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE 2001046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Phoebe Koundouri & Theologos Pantelidis & Ben Groom & Ekaterini Panopoulou, 2007.
"Discounting the distant future: How much does model selection affect the certainty equivalent rate?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 641-656.
- Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics Department Working Paper Series n1480105, Department of Economics, National University of Ireland - Maynooth.
- Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.
- Aaron Smith, 2005.
"Partially overlapping time series: a new model for volatility dynamics in commodity futures,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
- Smith, Aaron D., 2004. "Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures," Working Papers 11978, University of California, Davis, Department of Agricultural and Resource Economics.
- Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016, January-A.
- Kiyohiko G. Nishimura & Fukujyu Yamazaki & Takako Idee & Toshiaki Watanabe, 1999. "Distortionary Taxation, Excessive Price Sensitivity, and Japanese Land Prices," NBER Working Papers 7254, National Bureau of Economic Research, Inc.
- Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
- Shin, Minchul & Zhong, Molin, 2017.
"Does realized volatility help bond yield density prediction?,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 373-389.
- Minchul Shin & Molin Zhong, 2013. "Does realized volatility help bond yield density prediction?," PIER Working Paper Archive 13-064, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
- Hecq Alain & Laurent Sébastien & Palm Franz C., 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
- Moses K. Tule & Umar B. Ndako & Samuel F. Onipede, 2017. "Oil price shocks and volatility spillovers in the Nigerian sovereign bond market," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 57-65, November.
- Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
- M. Hashem Pesaran & Paolo Zaffaroni, 2004.
"Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management,"
CESifo Working Paper Series
1358, CESifo.
- Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
- M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," IEPR Working Papers 04.3, Institute of Economic Policy Research (IEPR).
- Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group.
- Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
- Kanniainen, Juho, 2007. "Rothschild-Stiglitz's definition of increasing risk and the relationship between volatility and risk premium," Review of Financial Economics, Elsevier, vol. 16(4), pages 363-374.
- Lanne, Markku & Saikkonen, Pentti, 2007.
"A Multivariate Generalized Orthogonal Factor GARCH Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 61-75, January.
- Lanne, Markku & Saikkonen, Pentti, 2005. "A Multivariate Generalized Orthogonal Factor GARCH Model," MPRA Paper 23714, University Library of Munich, Germany.
- Kearney, Colm & Muckley, Cal, 2008. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 870-885, December.
- Sinha, Bhaskar, 2007. "Modeling Stock Market Volatility in Emerging Markets: Evidence from India," MPRA Paper 102455, University Library of Munich, Germany, revised 2009.
- Abdul Hakim & Michael McAleer, 2010.
"Modelling the interactions across international stock, bond and foreign exchange markets,"
Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 825-850.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CIRJE F-Series CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
- Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CARF F-Series CARF-F-170, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
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- Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997.
"On biases in tests of the expectations hypothesis of the term structure of interest rates,"
Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
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- Christian Gourieroux, 2005. "Wishart Autoregressive Model for Stochastic Risk," Working Papers 2005-43, Center for Research in Economics and Statistics.
- Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013.
"Seleção de carteiras utilizando o modelo Fama-French-Carhart,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
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- Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
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- Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
- Tai, Chu-Sheng, 2008. "Asymmetric currency exposure and currency risk pricing," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 647-663, September.
- Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
- Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
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"Machine Learning and Factor-Based Portfolio Optimization,"
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Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
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"The Factor–Spline–GARCH Model for High and Low Frequency Correlations,"
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"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
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"Sectoral equity returns and portfolio diversification opportunities across the GCC region,"
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"Temporal aggregation of volatility models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
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"On the forecasting accuracy of multivariate GARCH models,"
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- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
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"The Nobel Memorial Prize for Robert F. Engle,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
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