Parametric and Nonparametric Volatility Measurement (2002)

by Torben G. Andersen , Tim Bollerslev , Francis X. Diebold , Neil Shephard
Citations:88 - 20 self

Active Bibliography

6 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005
Volatility models – Luc Bauwens, Christian Hafner, Sébastien Laurent, Core Discussion Paper, Luc Bauwens, Christian Hafner, Sébastien Laurent - 2011
Prepared for The Handbook of Econometrics, Volume 4 by – Tim Bollerslev, Robert F. Engle, Daniel B. Nelson, Tim Bollerslev, Robert F. Engle, Daniel B. Nelson, The Torben, G. Andersen, Patrick Billingsley, William A. Brock, Lars P. Hansen, Arch Models, T. Bollerslev, R. F. Engle, D. B. Nelson - 1993
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
Is volatility priced? – Yueh-neng Lin, Ken Hung - 2008
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
and methods in financial econometrics Contents – Zhibiao Zhao - 801
8 Option Valuation with Conditional Heteroskedasticity and Non-Normality – Peter Christoffersen, Redouane Elkamhi, Bruno Feunou, Kris Jacobs - 2009
2 A generalized partially linear model of asymmetric volatility – Guojun Wu , Zhijie Xiao - 2002
The Stochastic Volatility in Mean Model: Empirical . . . – Siem Jan Koopman, Eugenie Hol Uspensky - 2000
No-Arbitrage Valuation of Contingent Claims in Discrete Time – Peter Christoffersen, Redouane Elkamhi, Kris Jacobs - 2005
7 Stochastic volatility: origins and overview – Neil Shephard, Torben G. Andersen - 2008
134 An empirical investigation of continuous-time equity return models – Torben G. Andersen, Luca Benzoni, Jesper Lund, David Bates, Menachem Brenner, Sanjiv Das, Bjørn Eraker, Ron Gallant, Rick Green - 2002
17 Which GARCH Model for Option Valuation – Peter Christoffersen, Kris Jacobs - 2004
26 Deviance Information Criterion for Comparing Stochastic Volatility Models – Andreas Berg, Renate Meyer, Jun Yu - 2002
5 Glossary to ARCH (GARCH) – Tim Bollerslev - 2008
72 The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets – Christopher S. Jones - 2000