Search Results - "Econometrics"

Journal Article

A Simple Approximate Long-Memory Model of Realized Volatility

by Corsi, Fulvio Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 2, 174196 abstract The paper proposes an additive cascade model of volatility components dened...”

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Modeling International Financial Returns with a Multivariate Regime-switching Copula

by Chollete, Lorán Heinen, Andréas Valdesogo, Alfonso Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 437480 Lorn Chollete Norwegian School of Economics and Business Administration (NHH) Andras Heinen...”

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Journal Article

Comparison of Volatility Measures: a Risk Management Perspective

by Brownlees, Christian T Gallo, Giampiero M Published in Journal of financial econometrics (20100000)

“...In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility,...”

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Journal Article

Intra-daily Volume Modeling and Prediction for Algorithmic Trading

by Brownlees, Christian T Cipollini, Fabrizio Gallo, Giampiero M Published in Journal of financial econometrics (20110000)

“...The explosion of algorithmic trading has been one of the most pro-minent recent trends in the financial industry. Algorithmic trading consists of automated...”

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Journal Article

Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall

by Taylor, James W Published in Journal of financial econometrics (20080000)

“...Journal of Financial Econometrics, 2008, Vol. 6, No. 3, 382406 abstract We propose exponentially weighted quantile regression (EWQR) for estimating time...”

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Journal Article

American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution

by Stentoft, Lars Published in Journal of financial econometrics (20080000)

“...Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 540582 abstract In this paper we propose a feasible way to price American options in a model with time...”

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Journal Article

A Short Introduction to Correlation Markets

by Collin-Dufresne, Pierre Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 1229 abstract This short note gives a short overview of correlation markets and was prepared...”

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Journal Article

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

by Broda, Simon A Paolella, Marc S Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 412436 Simon A. Broda Department of Quantitative Economics, University of Amsterdam Marc S. Paolella...”

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Journal Article

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

by Tay, Anthony Ting, Christopher Tse, Yiu Kuen Warachka, Mitch Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 3, 288311 abstract This paper applies the asymmetric autoregressive conditional duration (AACD) model...”

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Journal Article

Shifts in Individual Parameters of a GARCH Model

by Galeano, Pedro Tsay, Ruey S Published in Journal of financial econometrics (20100000)

“...Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by...”

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Journal Article

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

by Hahn, Markus Frühwirth-Schnatter, Sylvia Sass, Jörn Published in Journal of financial econometrics (20100000)

“... with a common state process. For the econometric estimation of the states for drift and volatility and the rate matrix of the underlying Markov chain, we develop both an exact continuous time and an approximate discrete-time...”

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Journal Article

Linear Correlation and EVT: Properties and Caveats

by Embrechts, Paul Published in Journal of financial econometrics (20090000)

“...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 3039 Paul Embrechts Department of Mathematics and RiskLab ETH Zurich, Switzerland abstract Due...”

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Journal Article

Asymmetric Stochastic Conditional Duration Model-A Mixture-of-Normal Approach

by Xu, Dinghai Knight, John Wirjanto, Tony S Published in Journal of financial econometrics (20110000)

“...This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal...”

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