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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

Persistent link: https://www.econbiz.de/10003331375

Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results

Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001695282

Detecting multiple breaks in financial market volatility dynamics

Andreou, Elena; Ghysels, Eric - In: Journal of applied econometrics 17 (2002) 5, pp. 579-600

Persistent link: https://www.econbiz.de/10001709317

Predicting the VIX and the Volatility Risk Premium : What's Credit and Commodity Volatility Risk Got to Do with It?

Andreou, Elena - 2014

This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...

Persistent link: https://www.econbiz.de/10013045628