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by Torben G. Andersen, Tim Bollerslev
http://fmg.lse.ac.uk/events/conferences/pastcon/empfin/papers_ef/andersen.pdf
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Abstract:

We are grateful to Olsen and Associates for making the intradaily exchange rate quotations available. We also thank

Citations

248 Generalized Autoregressive Conditional Heteroskedasticity – Bollerslev - 1986
211 Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrics 50(July – Engle
135 ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence – Bollerslev, Chou, et al. - 1992
101 Semiparametric ARCH Models – Engle, Gonzalez-Rivera - 1991
100 Comparing predictive accuracy – Diebold, Mariano - 1995
92 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances,” Econometric Reviews – Bollerslev, Wooldridge - 1992
48 A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return – Bollerslev - 1987
47 Modeling the Persistence of Conditional Variances – Engle, Bollerslev - 1986
42 Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity – BAILLIE, BOLLERSLEV, et al. - 1996
39 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns – Andersen, Bollerslev - 1997
34 Modelling and pricing long memory in stock market volatility – Bollerslev, Mikkelsen - 1996
32 The Informational Content of Implied Volatility – Canina, Figlewski - 1993
31 Intraday periodicity and volatility persistence in financial markets – Andersen, Bollerslev - 1997
31 Temporal aggregation of GARCH processes – Drost, Nijman - 1993
27 Stock Market Volatility and the Information Content of Stock Index Options – Day, Craig - 1992
23 The Message in Daily Exchange Rates: A Conditional Variance Tale – Baillie, Bollerslev - 1989
22 Closing the GARCH Gap: Continuous Time GARCH Modeling – Drost, Werker - 1996
16 Return volatility and trading volume: An information flow interpretation of stochastic volatility – Andersen - 1996
15 DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies – Andersen, Bollerslev - 1998
13 Stochastic Autoregressive Volatility: A Framework for Volatility Modeling – Andersen - 1994
10 Conditional heteroskedasticity in time series of stock returns: evidence and forecasts – Akgiray - 1989
10 Investigation of a Class of Volatility Estimators – Boudoukh, Richardson, et al. - 1997
6 An Evaluation of Volatility Forecasting Techniques – Brailsford, Faff - 1996
5 chap. Arbitrage Valuation of Variance Forecasts with Simulated Options – Engle, Hong, et al. - 1993
4 Forecasting Volatility and Correlations with EGARCH Models – Cumby, Figlewski, et al. - 1993
4 Volatility forecasting without data-snooping – Dimson, Marsh - 1990
3 Econometrics – Chow - 1983
2 The Maximum Likelihood Estimation of Security Price Volatility: Theory, Evidence, and Application to Option Pricing – Ball, Torous - 1984
1 The Dynamic Relationship Between Implied and Realized Volatility – Christensen, Prabhala - 1997