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Maximum likelihood estimation of stochastic volatility models

Sandmann, Gleb; Koopman, Siem Jan - 1996

Persistent link: https://www.econbiz.de/10000953379

Quasi-maximum likelihood estimation of volatility with high frequency data

Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250

Persistent link: https://www.econbiz.de/10008839925

Nonparametric Kernel density estimation near the boundary

Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed … methodology in practice. -- Kernel density estimation ; boundary correction ; asymmetric kernel …

Persistent link: https://www.econbiz.de/10009577035

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

Modeling price volatility linkages between corn and wheat : a multivariate GARCH estimation

Musunuru, Naveen - In: International advances in economic research : IAER ; an … 20 (2014) 3, pp. 269-280

Persistent link: https://www.econbiz.de/10010532203

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 … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011379469

On the modeling of financial time series

Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015

Persistent link: https://www.econbiz.de/10011326692

Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173

Persistent link: https://www.econbiz.de/10011326796

How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index

Wang, Jying-Nan; Hsu, Yuan-Teng; Liu, Hung-Chun - In: International journal of economics and financial issues … 4 (2014) 3, pp. 651-656

Persistent link: https://www.econbiz.de/10010526918