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The distribution of realized variances : marginal behaviors, asymmetric dependence and contagion effects

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Persistent link: https://www.econbiz.de/10003880027

Jump distribution characteristics : evidence from European stock markets

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The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134

Persistent link: https://www.econbiz.de/10008257385

Jump distribution characteristics : evidence from European stock markets

Ané, Thierry; Métais, Carole - In: International journal of business and economics 9 (2010) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10009957172

Are jumps contagious? : an empirical investigation of jumps transmission mechanisms in the Nasdaq sector indexes

Ané, Thierry; Métais, Carole - In: Finance : revue de l'Association Française de Finance 32 (2011) 1, pp. 11-41

Persistent link: https://www.econbiz.de/10009918938

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134-151

Persistent link: https://www.econbiz.de/10008891790

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - In: International Review of Financial Analysis 18 (2009) 3, pp. 134-150

We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail....

Persistent link: https://www.econbiz.de/10004973396

The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - Université Paris-Dauphine (Paris IX) - 2009

Persistent link: https://www.econbiz.de/10010742280

Short and long term components of volatility in Hong Kong stock returns

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Do power GARCH models really improve value-at-risk forecasts?

Ané, Thierry - In: Journal of economics and finance 29 (2005) 3, pp. 337-358

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