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subject:"Volatility"
isPartOf:"Economic modelling"
~isPartOf:"The econometrics journal"
~isPartOf:"International journal of theoretical and applied finance"
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Economic modelling
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Flexible inflation targeting and stock market volatility : evidence from emerging market economies
Dridi, Ichrak
;
Boughrara, Adel
- In:
Economic modelling
126
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462464
Saved in:
3
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
4
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
5
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
6
Macroeconomic effects of monetary policy in Korea : a time-varying coefficient VAR approach
Han, Jeong sug
;
Hur, Joonyoung
- In:
Economic modelling
89
(
2020
),
pp. 142-152
Persistent link: https://www.econbiz.de/10012425933
Saved in:
7
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
8
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
9
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
10
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
11
Trend inflation estimates for Thailand from disaggregated data
Pym Manopimoke
;
Vorada Limjaroenrat
- In:
Economic modelling
65
(
2017
),
pp. 75-94
Persistent link: https://www.econbiz.de/10011813600
Saved in:
12
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
13
Parameter instability, stochastic volatility and estimation based on simulated likelihood : evidence from the crude oil market
Nonejad, Nima
- In:
Economic modelling
61
(
2017
),
pp. 388-408
Persistent link: https://www.econbiz.de/10011736901
Saved in:
14
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
15
Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis
- In:
Economic modelling
58
(
2016
),
pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
Saved in:
16
A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun
;
Liu, Guifang
;
Li, Hongyi
- In:
Economic modelling
59
(
2016
),
pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
Saved in:
17
Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis
Kumar, Dilip
- In:
Economic modelling
49
(
2015
),
pp. 354-371
Persistent link: https://www.econbiz.de/10011439594
Saved in:
18
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
19
Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik
;
Lien, Gudbrand
;
Veka, Steinar
;
Westgaard, Sjur
- In:
Economic modelling
43
(
2014
),
pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
Saved in:
20
A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
38
(
2014
),
pp. 33-44
Persistent link: https://www.econbiz.de/10010418224
Saved in:
21
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
22
Asymmetric generalized impulse responses with an application in finance
Hatemi-J, Abdulnasser
- In:
Economic modelling
36
(
2014
),
pp. 18-22
Persistent link: https://www.econbiz.de/10010412088
Saved in:
23
An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.
;
Kumar, Dilip
- In:
Economic modelling
33
(
2013
),
pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
Saved in:
24
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
25
Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip
;
Maheswaran, S.
- In:
Economic modelling
31
(
2013
),
pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
Saved in:
26
Common persistence in conditional variance : a reconsideration
Li, Chang-shuai
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
Saved in:
27
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
28
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
29
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
30
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
31
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
32
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
Saved in:
33
Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander
;
Pelsser, Antoon André Jean
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
Saved in:
34
Wavelet estimators for long memory in stock markets
Mabrouk, Anouar Ben
;
Kortas, Hedi
;
Ammou, Samir Ben
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 297-317
Persistent link: https://www.econbiz.de/10003867402
Saved in:
35
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
36
Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua
;
McNeil, Alexander J.
- In:
Economic modelling
25
(
2008
)
5
,
pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
Saved in:
37
Distinguishing short and long memory volatility specifications
Pong, Shiuyan
;
Shackleton, Mark B.
;
Taylor, Stephen
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
Saved in:
38
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.
;
Krishnamurthy, Vikram
;
Sass, Jörn
- In:
The econometrics journal
11
(
2008
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
Saved in:
39
Information transmission across Eurodollar futures markets
Lim, Kian-Guan
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 235-245
Persistent link: https://www.econbiz.de/10001240155
Saved in:
40
Estimating stochastic volatility models through indirect inference
Monfardini, Chiara
- In:
The econometrics journal
1
(
1998
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10001443684
Saved in:
41
A multivariate GARCH model of risk premia in foreign exchange markets
Malliaropulos, Dimitrios
- In:
Economic modelling
14
(
1997
)
1
,
pp. 61-79
Persistent link: https://www.econbiz.de/10001241607
Saved in:
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