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Stochastic Volatility

Citations

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Cited by:

  1. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
  2. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
  3. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  4. Christopher F. Baum & Mustafa Caglayan & Oleksandr Talavera, 2010. "On the sensitivity of firms' investment to cash flow and uncertainty," Oxford Economic Papers, Oxford University Press, vol. 62(2), pages 286-306, April.
  5. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
  6. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  7. 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.
  8. Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus, 2004. "Multipower Variation and Stochastic Volatility," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.
  9. Pitt, M.K. & Walker, S.G., 2001. "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS) 595, University of Warwick, Department of Economics.
  10. He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
  11. 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.
  12. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  14. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  15. Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
  16. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
  17. Junji Shimada & Yoshihiko Tsukuda, 2004. "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings 611, Econometric Society.
  18. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
  19. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  20. Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
  21. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  22. Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006. "Limit Theorems For Bipower Variation In Financial Econometrics," Econometric Theory, Cambridge University Press, vol. 22(4), pages 677-719, August.
  23. H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society.
  24. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
  25. 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.
  26. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
  27. Marco Del Negro, 2003. "Discussion of Cogley and Sargent's \"Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S.\"," FRB Atlanta Working Paper 2003-26, Federal Reserve Bank of Atlanta.
  28. Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
  29. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
  30. Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
  32. Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, vol. 10(4), pages 1-16, December.
  33. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
  34. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
  35. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
  36. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
  37. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  38. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
  39. Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
  40. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  41. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
  42. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
  43. 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.
  44. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  45. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  46. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  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. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  49. Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI, 2002. "Correcting The Errors : A Note On Volatility Forecast Evaluation Based On High-Frequency Data And Realized Volatilities," Cahiers de recherche 21-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  50. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series 2004-69, Board of Governors of the Federal Reserve System (U.S.).
  51. Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
  52. Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004. "A central limit theorem for realised power and bipower variations of continuous semimartingales," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  53. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
  54. Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan, 2013. "Impact of volatility estimation method on theoretical option values," Global Finance Journal, Elsevier, vol. 24(2), pages 119-128.
  55. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  56. Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics.
  57. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.
  58. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
  59. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
  60. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
  61. Y.K. Tse & Xibin Zhang & Jun Yu, 2002. "Estimation of Hyperbolic Diffusion Using MCMC Method," Monash Econometrics and Business Statistics Working Papers 18/02, Monash University, Department of Econometrics and Business Statistics.
  62. Mengheng Li & Siem Jan (S.J.) Koopman, 2018. "Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction," Tinbergen Institute Discussion Papers 18-027/III, Tinbergen Institute.
  63. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 55-77, March.
  64. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
  65. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  66. Barndorff-Nielsen, Ole E. & Shephard, Neil & Winkel, Matthias, 2006. "Limit theorems for multipower variation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 796-806, May.
  67. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
  68. Offer Lieberman & Peter Phillips, 2008. "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 254-267.
  69. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  70. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  71. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1995. "Models and Priors for Multivariate Stochastic Volatility," CIRANO Working Papers 95s-18, CIRANO.
  72. Engle, Robert F. & Gallo, Giampiero M., 2006. "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
  73. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  74. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
  75. Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra.
  76. Ole E. Barndorff‐Nielsen & Neil Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
  77. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  78. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
  79. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
  80. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
  81. Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
  82. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
  83. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
  84. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics.
  85. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  86. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Power Variation and Time Change," Economics Papers 2002-W24, Economics Group, Nuffield College, University of Oxford.
  87. Mikkelsen, Peter, 2001. "MCMC Based Estimation of Term Structure Models," Finance Working Papers 01-7, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  88. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  89. Neil Shephard & Ole Barndorff-Nielsen, 2003. "A feasible central limit theory for realised volatility under leverage," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics.
  90. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
  91. Jensen Mark J., 2016. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 455-475, September.
  92. Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  93. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
  94. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  95. Haselmann, Rainer & Helmut, Herwartz, 2005. "The Introduction of the Euro and its Effects on Investment Decisions," Economics Working Papers 2005-15, Christian-Albrechts-University of Kiel, Department of Economics.
  96. Francis X. Diebold & Til Schuermann, 1996. "Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models," NBER Technical Working Papers 0194, National Bureau of Economic Research, Inc.
  97. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
  98. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
  99. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
  100. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.
  101. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
  102. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  103. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
  104. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
  105. Chang, Lo-Bin & Geman, Stuart, 2013. "Empirical scaling laws and the aggregation of non-stationary data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 5046-5052.
  106. Liesenfeld, Roman & Richard, Jean-François, 2008. "Improving MCMC, using efficient importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 272-288, December.
  107. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," The Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
  108. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
  109. Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
  110. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
  111. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics.
  112. Borus Jungbacker & Siem Jan Koopman, 2006. "Model-Based Measurement of Actual Volatility in High-Frequency Data," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 183-210, Emerald Group Publishing Limited.
  113. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  114. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
  115. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  116. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  117. Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Normal Modified Stable Processes," Economics Series Working Papers 72, University of Oxford, Department of Economics.
  118. Michael K. Pitt & Neil Shephard, 1999. "Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 63-85, January.
  119. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
  120. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.
  121. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  122. Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org, revised Jul 2015.
  123. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
  124. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.
  125. Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society.
  126. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37.
  127. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
  128. Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics.
  129. René Garcia & Eric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
  130. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  131. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 390-455.
  132. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
  133. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.
  134. 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.
  135. Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
  136. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
  137. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
  138. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  139. Perry Sadorsky, 2005. "Stochastic volatility forecasting and risk management," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 121-135.
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