The Distribution of Realized Exchange Rate Volatility (2001)

by Torben G. Andersen , Tim Bollerslev , Francis X. Diebold , Paul Labys
Venue:Journal of the American Statistical Association
Citations:150 - 18 self

Active Bibliography

The Distribution of Exchange Rate Volatility * – Torben G. Andersen A, Tim Bollerslev B, Francis X. Diebold C, Paul Labys D - 1998
110 The Distribution of Exchange Rate Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - 1999
3 MODELING AND FORECASTING REALIZED VOLATILITY – Torben G. Anderson, Tim Bollerslev, Francis X. Diebold, Paul Labys - 2002
265 Modeling and Forecasting Realized Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - 2002
88 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
24 The Distribution of Stock Return Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens - 2000
6 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005
The distribution of realized stockreturn volatility $ – Torben G. Andersen A, Tim Bollerslev B, Francis X. Diebold C, Heiko Ebens E, Dave Backus, Michael Br, Rohit Deo, Rob Engle, Clive Granger, Lars Hansen - 2001
The Distribution of Stock Return Volatility * – Torben G. Andersen A, Tim Bollerslev B, Francis X. Diebold C, Heiko Ebens D - 1999
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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
Aggregation and Model Construction . . . – Ole E. Barndorff-Nielsen, Neil Shephard - 1998
24 Aggregation and Model Construction for Volatility Models – Ole E. Barndorff-Nielsen, Ny Munkegade, Dk- Aarhus C, Neil Shephard - 1998
5 Glossary to ARCH (GARCH) – Tim Bollerslev - 2008
Chapter 49 – Arch Models, Tim Bollerslev, F. Engle, B. Nelson
Stochastic Volatility and Option Pricing with Long-Memory in Discrete and Continuous Time – Alexandra Chronopoulou, Frederi G. Viens - 2012
Characterization of Financial Time Series – Martin Sewell - 2011
U.S. Treasury Market? A Specification Test for Affine Term Structure Models – Torben G. Andersen, Luca Benzoni - 2005
2 Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models – Torben G. Andersen, Luca Benzoni - 2005