## Parametric and Nonparametric Volatility Measurement (2002)

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Citations: | 113 - 22 self |

### BibTeX

@MISC{Andersen02parametricand,

author = {Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Neil Shephard},

title = {Parametric and Nonparametric Volatility Measurement},

year = {2002}

}

### Years of Citing Articles

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### Abstract

### Citations

1760 |
Large sample properties of generalized method of moments estimators
- Hansen
- 1982
(Show Context)
Citation Context ...nal moments in equations (3.1) and (3.2) allow for relatively easy and consistent statistical inference concerning the unknown parameters by a standard Generalized Methods of Moments (GMM) estimator (=-=Hansen, 1982-=-), or for stochastic volatility and latent state variable(s), a Simulated Method of Moments (SMM) type estimator (Duffie and Singleton, 1993). Of course, simple method-of-moments estimators with ill c... |

1521 | Generalized Autoregressive Conditional Heteroskedasticity
- Bollerslev
- 1986
(Show Context)
Citation Context ...0 in order to ensure positivity of h 2 (t,h) (a.s.). A more parsimonious characterization of the intertemporal volatility dependencies is often obtained by the Generalized ARCH, or GARCH(p,q), model (=-=Bollerslev, 1986-=-), h 2 (t,h) = T + 3 j=1,..,p " j (r(t-j@ h,h)-µ(t-j@ h,h)) 2 + 3 i=1,..,q $ i h 2 (t-j@ h,h) / T + "(L,h) (r(t,h)-µ(t,h)) 2 +$(L,h) h 2 (t,h). For the popular GARCH(1,1) model, T>0, " 1 $0, and $ 1$0... |

1092 | Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation - Engle - 1982 |

793 | On the relation between the expected value and the volatility of the nominal excess return on stocks - GLOSTEN, JAGANNATHAN, et al. - 1993 |

786 | Conditional Heteroskedasticity in Asset Returns: A New Approach - Nelson - 1991 |

785 |
Optimal Filtering
- Anderson, Moore
- 1979
(Show Context)
Citation Context ...oped by Nelson (1996b). The basic idea behind the construction of optimal ARCH smoothers exploit principles similar to those involved in the extension of the Kalman filter to a Kalman smoother (e.g., =-=Anderson and Moore, 1979-=-). It is noteworthy that in contrast to the optimal ARCH filters, the resulting optimal ARCH smoothers do not necessarily match the first two conditional moments of the true distribution. An alternati... |

724 | The Pricing of Options on Assets with Stochastic Volatilities - Hull, White - 1987 |

688 | Option Pricing When Underlying Stock Returns are Discontinuous - Merton - 1976 |

566 | Filtering via simulation: auxiliary particle filter - Pitt, Shephard - 1999 |

559 |
Quasimaximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews
- Bollerslev, Wooldridge
- 1992
(Show Context)
Citation Context ...standardized innovations, (r(t,h)- µ(t,h))/h(t,h), belong to a specific parametric family of distributions, Maximum Likelihood Estimation (MLE) and corresponding Gaussian Quasi-MLE (QMLE) procedures (=-=Bollerslev and Wooldridge, 1992-=-) are both conceptually straightforward to implement for the ARCH models, while more complicated procedures are required for stochastic volatility models. Next, we briefly review some of the popular d... |

517 | The Valuation of Options for Alternative Stochastic Processes - Cox, Ross - 1976 |

501 | Empirical performance of alternative option pricing models - Bakshi, Cao, et al. - 1997 |

499 | Transform analysis and asset pricing for affine jumpdiffusions - Duffie, Pan, et al. - 2000 |

472 | Expected stock returns and volatility - French, Schwert, et al. - 1987 |

454 | Why does stock market volatility change over time - Schwert - 1989 |

447 | A capital asset pricing model with time-varying covariances - Bollerslev, Engle, et al. - 1988 |

445 | Bayesian Analysis of Stochastic Volatility Models - Jacquier, Polson, et al. - 1994 |

431 | Stochastic volatility: likelihood inference and comparison with ARCH models - Kim, Shephard, et al. - 1998 |

426 | Modelling the coherence in shortrun nominal exchange rate: A multivariate generalized ARCH approach - Bollerslev - 1990 |

421 | 2000, ”Specification analysis of affine term structure models - Dai, Singleton |

419 | A long memory property of stock market returns and a new model - Ding, Granger, et al. - 1993 |

406 | Modelling Financial Time Series - Taylor, editor - 1994 |

395 | A subordinated stochastic process model with finite variance for speculative prices - Clark - 1973 |

392 | Modeling and Forecasting Realized Volatility - Andersen, Bollerslev, et al. - 2003 |

385 | Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
- Andersen, Bollerslev
- 1998
(Show Context)
Citation Context ...al market volatility have arguably been gleaned from estimation and inference with ARCH type models. Several surveys of this burgeoning literature already exist (an incomplete list of which includes, =-=Andersen and Bollerslev, 1998-=-c; Bollerslev, Chou and Kroner, 1992; Bollerslev, Engle and Nelson, 1994; Diebold and Lopez, 1995; Engle, 1995; and Engle and Patton, 2001), and we will not attempt yet another comprehensive review. H... |

384 | An empirical comparison of alternative models of the short-term interest rate - Chan, Karolyi, et al. - 1992 |

374 | Jumps and stochastic volatility: Exchange rate processes implicit - Bates - 1996 |

342 | On estimating the expected return on the market: an exploratory investigation - Merton - 1980 |

322 | Estimating Betas from Nonsynchronous Data - Scholes, Williams - 1977 |

311 | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics (with discussion - Barndorff-Nielsen, Shephard - 2002 |

295 | Fractionally integrated generalized autoregressive conditional heteroskedasticity - RT, Bollerslev, et al. - 1996 |

287 | Stochastic volatility - Ghysels, Harvey, et al. - 1996 |

278 | Multivariate Stochastic Variance Models - Harvey, Ruiz, et al. - 1994 |

270 |
Multivariate simultaneous generalized ARCH’, Econometric Theory
- Engle, Kroner
- 1995
(Show Context)
Citation Context ...ement in the conditional covariance matrix depends on a distributed lag of past values of the same element and the cross-products of the corresponding innovations. The related BEKK GARCH formulation (=-=Engle and Kroner, 1995-=-) guarantees that the covariance matrices are positive definite. The constant conditional correlation model in Bollerslev (1990) is empirically among the most frequently applied multivariate ARCH mode... |

262 | Estimating the time varying risk premia in the term structure : The ARCH-M model. Econornetrica 55:391—407 - Engle, Lilien, et al. - 1987 |

251 |
No news is good news: An asymmetric model of changing volatility in stock returns
- Campbell, Hentschel
- 1992
(Show Context)
Citation Context ...hese competing specifications is best able to capture the empirically observed asymmetry in equity return volatility has been the subject of several empirical studies (e.g., Bekaert and Wu, 2000, and =-=Campbell and Hentschel, 1992-=-). Another important empirical finding concerns the strong degree of volatility persistence estimated with most daily and weekly financial rates of return. This is manifest by the autoregressive polyn... |

246 | Simulated moments estimation of markov models of asset prices
- Duffie, Singleton
- 1993
(Show Context)
Citation Context ... parameters by a standard Generalized Methods of Moments (GMM) estimator (Hansen, 1982), or for stochastic volatility and latent state variable(s), a Simulated Method of Moments (SMM) type estimator (=-=Duffie and Singleton, 1993-=-). Of course, simple method-of-moments estimators with ill chosen moment conditions may behave poorly, both asymptotically and in finite samples (Andersen, Chung and Sørensen, 1999), and much of the l... |

241 |
Statistical aspects of ARCH and stochastic volatility
- Shephard
- 1996
(Show Context)
Citation Context ... However, the direct implementation of such procedures involves high-dimensional integration which is generally prohibitively expensive from a computational point of view (see e.g., the discussion in =-=Shephard, 1996-=-). Recent advances along these lines to allow for the practical numerical calculation and extraction of latent volatility measurements include the particle filters in Pitt and Shephard (1999) and the ... |

232 | Modelling the persistence of conditional variances - ENGLE, BOLLERSLEV - 1986 |

231 | The distribution of realized exchange rate volatility - Andersen, Bollerslev, et al. - 2001 |

222 | Implied volatility functions: empirical tests - Dumas, Fleming, et al. - 1998 |

216 |
Stochastic Integration and Differential Equations: A New Approach
- Protter
- 1990
(Show Context)
Citation Context ...hat these conditions imply that the log-price process must constitute a (special) semi-martingale (e.g., Back, 1991). This, in turn, affords the following unique canonical return decomposition (e.g., =-=Protter, 1992-=-). PROPOSITION 1 - Return Decomposition -3sAny arbitrage-free logarithmic price process subject to the regularity conditions outlined above may be uniquely represented as r(t) / p(t) - p(0) = µ(t) + M... |

212 |
An Introduction to High-Frequency Finance
- Dacorogna, Gencay, et al.
- 2001
(Show Context)
Citation Context ...et microstructure frictions at the highest sampling frequencies across different assets and markets is also of utmost importance from a practical perspective (see also the surveys by Hasbrouck, 1996; =-=Dacorogna et al., 2001-=-; and Engle and Russell, 2002). -48s5. DIRECTIONS FOR FUTURE RESEARCH In the last ten years, there has been a movement toward the use of newly-available highfrequency asset return data, and away from ... |

202 | The garch option pricing model - Duan - 1995 |

188 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns - TG, Bollerslev - 1997 |

187 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange - Andersen, Bollerslev, et al. |

181 | Pricing foreign currency options with stochastic volatility - Melino, Turnbull - 1990 |

180 |
Modeling and pricing long memory in stock market volatility
- Bollerslev, HO
- 1996
(Show Context)
Citation Context ...dynamicsdependencies, and several alternative long-memory, or fractionally integrated, ARCH type formulations have recently been estimated and analyzed more formally in the literature (e.g., Baillie, =-=Bollerslev and Mikkelsen, 1996-=-; Bollerslev and Mikkelsen, 1996; Ding, Granger and Engle, 1993; Giraitis, Kokoszka and Leipus, 2000; Robinson, 1991, 2001; and Zumbach, 2001). Possible explanations for the apparent long-memory depen... |

169 | 2002a). ‘‘Econometric Analysis of Realised Volatility and its Use in Estimating Stochastic Volatility Models - Barndorff-Nielsen, Shephard |

169 | The detection and estimation of long memory in stochastic volatility - Breidt, Crato, et al. - 1998 |