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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.; Linton, Oliver - In: Journal of econometrics 159 (2010) 1, pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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Estimation of a longitudinal multivariate stochastic volatility model for the analysis of intra-day electricity prices
Smith, Michael S. (contributor); Cottet, Remy (contributor) - 2006
Persistent link: https://www.econbiz.de/10003301799
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The state space representation and estimation of a time-varying parameter VAR with stochastic volatility
Doh, Taeyoung; Connolly, Michael - 2012
Persistent link: https://www.econbiz.de/10009575454
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Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …
Persistent link: https://www.econbiz.de/10010533201
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
volatility of individual stock returns and exchange rate returns. …
Persistent link: https://www.econbiz.de/10011332948
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2004
In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …
Persistent link: https://www.econbiz.de/10011342558