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Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2002

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

Persistent link: https://www.econbiz.de/10012787458

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10001663892

A Bayesian analysis of periodic integration

Franses, Philip H.; Koop, Gary - 1994

Persistent link: https://www.econbiz.de/10000122538

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135

Large Bayesian VARMAs

Chan, Joshua; Eisenstat, Eric; Koop, Gary - In: Journal of econometrics 192 (2016) 2, pp. 374-390

Persistent link: https://www.econbiz.de/10011704723

A new model of inflation, trend inflation, and long-run inflation expectations

Chan, Joshua; Clark, Todd E.; Koop, Gary - 2015

Persistent link: https://www.econbiz.de/10011386660

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010338455

Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data

Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106

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Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189

Persistent link: https://www.econbiz.de/10009242526