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~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~subject:"Volatilität"
~type_genre:"Book section"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Allen, David E.
Andersen, Torben
Christoffersen, Peter F.
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198
Caporale, Guglielmo Maria
102
Chang, Chia-Lin
75
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67
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2003
-
This version: September 2003
A rapidly growing literature has documented important improvements in
volatility
measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized
volatility
measurements … an easy-to-implement reduced form model for realized
volatility
results in highly significant jump coefficient estimates …
Persistent link: https://www.econbiz.de/10009764770
Saved in:
32
Risk Modelling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010326135
Saved in:
33
Volatility
Spillovers from the US to Australia and China across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, R.J.
;
Singh, A.K.
-
2013
This paper features an analysis of
volatility
spillover effects from the US market, represented by the S&P500 index to …-mean equation to model the conditional mean in the Australian markets plus an ARMA model to capture
volatility
spillovers from the …
Persistent link: https://www.econbiz.de/10010326245
Saved in:
34
A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2013
Persistent link: https://www.econbiz.de/10009735127
Saved in:
35
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
-
2013
Persistent link: https://www.econbiz.de/10010226837
Saved in:
36
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
37
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
38
The economic value of realized
volatility
: using high-frequency returns for option valuation
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jacobs, Kris
; …
-
2012
Many studies have documented that daily realized
volatility
estimates based on intraday returns provide
volatility
… that use daily returns as well as realized
volatility
. We derive convenient closed-form option valuation formulas and we … assess the option valuation properties using S&P500 return and option data. We find that realized
volatility
reduces the …
Persistent link: https://www.econbiz.de/10009627514
Saved in:
39
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10010202343
Saved in:
40
Comparing Australian and US corporate default risk using quantile regression
Allen, David E.
;
Kramadibrata, Akhmad R.
;
Powell, Robert
; …
-
2011
Persistent link: https://www.econbiz.de/10009410478
Saved in:
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