Parametric and Nonparametric Volatility Measurement (2002)

by Torben G. Andersen , Tim Bollerslev , Francis X. Diebold , Neil Shephard
Citations:113 - 22 self

Active Bibliography

6 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005
__________________ Volatility and Correlation Forecasting * – Torben G. Andersen A, Tim Bollerslev B, Peter F. Christoffersen C, Francis X. Diebold D - 2005
Contents – Children Dyslexia, Dely L Elliot, Julia K Davidson, Jon Lewin - 2007
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
229 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
Volatility models – Luc Bauwens, Christian Hafner, S├ębastien Laurent - 2011
3 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 – Alireza Javaheri - 2004
530 Filtering via simulation: Auxiliary particle filter – M Pitt, N Shephard - 1999
The Stochastic Volatility Model, Regime Switching and VaR in International Equity Markets – Ata Assaf