create a website

Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis. (2006). Iori, Giulia ; Mattiussi, V..
In: Working Papers.
RePEc:cty:dpaper:06/09.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 52

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Abhyankar, A.H. (1995): Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets. Journal of Futures Markets, 15(4), 457-488.
    Paper not yet in RePEc: Add citation now
  2. [10] Barrucci, E. and R. Ren (2002b): On measuring volatility of diïusion processes with high frequency data. Economics Letters, 74, 371-378.
    Paper not yet in RePEc: Add citation now
  3. [11] Barrucci, E., M. Mancino and R. Ren (2000): Volatility estimate via Fourier analysis. Finanza Computazionale, Atti della Scuola Estiva 2000, Universit Caâ Foscari, Venezia, 273-291.
    Paper not yet in RePEc: Add citation now
  4. [12] Bollerslev, T., R.Y. Chou and K.F. Kroner (1992): ARCH modeling in ïnance: a review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.

  5. [13] Bollerslev, T., R.F. Engle and D.B. Nelson (1994): ARCH models. Handbook of Econometrics Volume IV, in Engle and McFadden eds, North Holland Press.
    Paper not yet in RePEc: Add citation now
  6. [14] Brandt, M.W. and F.X. Diebold (2003): A no-arbitrage approach to range-based estimation of return covariances and correlations. Working Paper 03-013, Penn Institute for Economic Research, Philadelphia.

  7. [15] Calvo, S. and C.M. Reinhart (1996): Capital ïows to Latin America: is there evidence of contagion eïects? Private Capital Flows to Emerging Markets, in Calvo, Goldstein and Hochreitter eds, Institute for International Economics, Washington.

  8. [16] Caporale, G.M., A. Cipollini and N. Spagnolo (2005): Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, 12(3), 476-489.

  9. [17] Caramazza, F., L. Ricci and R. Salgado (1999): Trade and ïnancial contagion in currency crises. IMF Working Paper.
    Paper not yet in RePEc: Add citation now
  10. [18] Chan, K. and A. Karolyi (1991): Intraday Volatility in the Stock Index and Stock Index Futures Markets. Review of Financial Studies, 4, 657-684.

  11. [19] Chan, K., A. Karolyi, F. Longstaï and A. Sanders (1992): An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, 47(3), 1209-1227.

  12. [2] Andersen, T.G. and T. Bollerslev (1998a): Deutche Mark-Dollar volatility: intraday activity patterns, macroeconomics announcements and longer run dependencies. Journal of Finance, 53, 219-265.
    Paper not yet in RePEc: Add citation now
  13. [20] Cohen, K.J., G.A. Hawawini, S.F. Maier, R.A. Schwartz and D.K. Whitcomb (1983): Friction in the trading process and the estimation of systematic risk. Journal of Financial Economics, 12, 263-278.

  14. [21] Cox, J., J. Ingersoll and S. Ross (1985): A theory of the term structure of interest rates. Econometrica, 53, 385-406.

  15. [22] Dacorogna, M.M., R. Genay, U.A. Mller, R.B. Olsen and O.V. Pictet (2001): An Introduction to High-Frequency Finance. Academic Press, San Diego, CA.

  16. [23] Dornbusch, R., Y.C. Park and S. Claessens (2000): Contagion: understanding how it spreads. The World Bank Research Observer, 15(2), 177-197.

  17. [24] Drost, F.C. and B.J.M Werker (1996): Closing the GARCH gap: continuous time GARCH modeling. Journal of Econometrics, 74, 31-57.

  18. [25] Dungey, M., R.A. Fry and V.L. Martin (2004): Currency market contagion in the Asia-Paciïc region. Australian Economic Papers, 43(4), 379-395.

  19. [26] Dungey, M., R.A. Fry and V.L. Martin (2003): Equity transmission mechanisms from Asia to Australia: interdependence or contagion? Australian Journal of Management, 28(2), 157-182.

  20. [27] Eichengreen, B., A. Rose and C. Wyplosz (1996): Contagious currency crisis. NBER Working Paper W5681.
    Paper not yet in RePEc: Add citation now
  21. [28] Ellis, L. and E. Lewis (2001): The response of ïnancial markets in Australia and New Zealand to news about the Asian crisis. RBA Research Discussion Papers RDP2001-03, Reserve Bank of Australia.

  22. [29] Epps, T. (1979): Comovements in stock prices in the very short run. Journal of the American Statistical Association, 74, 291-298.
    Paper not yet in RePEc: Add citation now
  23. [3] Andersen, T.G. and T. Bollerslev (1998b): Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Econimic Review, 39, 885-905.
    Paper not yet in RePEc: Add citation now
  24. [30] Forbes, K.J and R. Rigobon (2001): Measuring contagion: conceptual and empirical issues. International Financial Contagion, in Claessens and Forbes eds, Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  25. [31] Forbes, K.J and R. Rigobon (2002): No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57(5), 2223-2261.

  26. [32] Milton, F., (1999): How Asia Fell. Hoover Digest No 2, Hoover Institution, Stanford University.
    Paper not yet in RePEc: Add citation now
  27. [33] Hayashi, T and N. Yoshida (2005): On covariance estimation of non synchronously observed diïusion processes. Bernoulli, 11, 359-379.
    Paper not yet in RePEc: Add citation now
  28. [35] Heston, S.L. (1993): A closed-form solution for option with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343.

  29. [36] Jiang, G.J. (1998): Nonparametric modeling of U.S. interest rate term structure dynamics and implications on the prices of derivative securities. Journal of Finance and Quantitative Analysis, 33(4), 465-497.

  30. [37] Karatzas, I. and S.E. Shreve (1991): Brownian Motion and Stochastic Calculus (2 ed.). Volume 113 of Graduate Texts in Mathematics, Springer-Verlag, Berlin.
    Paper not yet in RePEc: Add citation now
  31. [38] Kawaller, I. G., P.D. Koch and T.W. Koch (1987): The temporal relationship between S&P 500 futures and the S&P 500 index. Journal of Finance, 42, 1309-1329.

  32. [39] King, M. and S.B. Wadhwani (1990): Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.

  33. [4] Andersen, T.G., T. Bollerslev, F.X. Diebold and P. Labys (2001): The Distribution of realized exchange rate volatility. Journal of American Statistical Association, 96, 42-55.

  34. [40] Malliavin, P. and M. Mancino (2002): Fourier series method for measurement of multivariate volatilities. Finance and Stochastics, 6(1), 49-61.

  35. [41] Malliavin, P. and A. Thalmaier (2005): Stochastic Calculus of Variations in Mathematical Finance. Springer Finance.
    Paper not yet in RePEc: Add citation now
  36. [42] Min, J.H. and M. Najand (1999): A further investigation of the lead-lag relationship between the spot market and stock index futures: early evidence from Korea. Journal of Futures Markets, 19(2), 217-232.
    Paper not yet in RePEc: Add citation now
  37. [43] Najand, M., H. Rahaman and K. Yung (1992): Inter-currency transmission of volatility in foreign exchange futures. The Journal of Financial Markets, 12(6), 609-620.
    Paper not yet in RePEc: Add citation now
  38. [44] Nelson, D.B. (1990): ARCH models as diïusion approximations. Journal of Econometrics, 45, 7-38.

  39. [45] Oomen, R. (2002): Modeling realized variance when returns are serially correlated. Technical Report, Warwick Business School, University of Warwick.
    Paper not yet in RePEc: Add citation now
  40. [46] Pericoli, M. and M. Sbracia (2003): A primer on ïnancial contagion. Journal of Economic Surveys, 17(4), 571-608.

  41. [47] Precup, O. and G. Iori (2005): Cross-correlation in the high-frequency domain. Forthcoming.

  42. [48] Priestley, M. (1979): Spectral Time Series Analysis. Wiley.
    Paper not yet in RePEc: Add citation now
  43. [49] Ren, R. (2003): A closer look at the Epps eïect. International Journal of Theoretical and Applied Finance, 6(1), 87-102.
    Paper not yet in RePEc: Add citation now
  44. [50] Shephard, N. (1996): Statistical aspects of ARCH and stochastic volatility. Likelihood, Time Series with Econometric and Other Application, in Cox, Hinkley and Barndorï-Nielsen eds, Chapman and Hall, London.
    Paper not yet in RePEc: Add citation now
  45. [51] Scholes, M and J. Williams (1977): Estimating betas from non synchronous data. Journal of Financial Economics, 5, 309-327.

  46. [52] Tai, C. (2003): Looking for Contagion in Currency Futures Markets. Journal of Futures Market, 23(10), 957-988.
    Paper not yet in RePEc: Add citation now
  47. [53] Tse Y. (1999): Price discovery and volatility spillovers in the DJIA Index and futures Markets. Journal of Futures Markets, 19(8), 911-930.
    Paper not yet in RePEc: Add citation now
  48. [54] Vasicek, O. (1977): An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.

  49. [6] Baig, T. and I. Goldïjn (1998): Financial market contagion in the Asian Crisis. Working Paper 98-155, International Monetary Fund, Washington.

  50. [7] Barndorï-Nielsen, O.E. and N. Shephard (2002): Estimating quadratic variation using realized variance. Journal of Applied Econometrics, 17, 457-477.

  51. [8] Barndorï-Nielsen, O.E. and N. Shephard (2004): Econometric analysis of realized covariation: high frequency based covariance, regression and correlation in ïnancial economics. Econometrica, 27, 885-925.

  52. [9] Barrucci, E. and R. Ren (2002a): On measuring volatility and the GARCH forecasting performance. Journal of International Financial Markets, Institutions and Money, 12, 182-200.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2020). Lemand, Ryan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0307004.

    Full description at Econpapers || Download paper

  2. New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2020). Lemand, Ryan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0307003.

    Full description at Econpapers || Download paper

  3. The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets. (2009). Katrakilidis, Constantinos ; Lake E. A., ; Katrakilidis C., .
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xii:y:2009:i:1:p:149-161.

    Full description at Econpapers || Download paper

  4. On the complete model with stochastic volatility by Hobson and Rogers. (2005). Pascucci, Andrea ; di Francesco, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0503013.

    Full description at Econpapers || Download paper

  5. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
    In: Finance.
    RePEc:wpa:wuwpfi:0502013.

    Full description at Econpapers || Download paper

  6. ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts. (2005). Lahiri, Kajal ; Liu, Fushang.
    In: MPRA Paper.
    RePEc:pra:mprapa:21693.

    Full description at Econpapers || Download paper

  7. Classifying the Markets Volatility with ARMA Distance Measures. (2004). Otranto, Edoardo.
    In: Econometrics.
    RePEc:wpa:wuwpem:0402009.

    Full description at Econpapers || Download paper

  8. Worsening of the Asian Financial Crisis: Who is to Blame?. (2004). Kutan, Ali ; Sudjana, Brasukra G..
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2004-658.

    Full description at Econpapers || Download paper

  9. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

    Full description at Econpapers || Download paper

  10. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

    Full description at Econpapers || Download paper

  11. Stock Market Volatility: Examining North America, Europe and Asia. (2004). Premaratne, Gamini ; Balasubramanyan, Lakshmi.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:479.

    Full description at Econpapers || Download paper

  12. Discounting The Equity Premium Puzzle. (2004). Martin, Vance ; Maasoumi, Esfandiar ; Lim, Guay.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:331.

    Full description at Econpapers || Download paper

  13. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

  14. The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach. (2003). Lemand, Ryan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0307002.

    Full description at Econpapers || Download paper

  15. Stochastic behaviour of Deutsche mark exchange rates within EMS. (2003). Laopodis, Nikiforos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:665-676.

    Full description at Econpapers || Download paper

  16. Investigating Purchasing Patterns for Financial Services using Markov, MTD and MTDg Models. (2003). Van den Poel, Dirk ; PRINZIE, A..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/213.

    Full description at Econpapers || Download paper

  17. Testing for Longer Horizon Predictability of Return Volatility with an Application to the German. (2003). Raunig, Burkhard.
    In: Working Papers.
    RePEc:onb:oenbwp:86.

    Full description at Econpapers || Download paper

  18. Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility. (2003). Normandin, Michel ; Phaneuf, Louis.
    In: Cahiers de recherche.
    RePEc:iea:carech:0304.

    Full description at Econpapers || Download paper

  19. Modeling uncertainty: predictive accuracy as a proxy for predictive confidence. (2003). Tracy, Joseph ; Rich, Robert.
    In: Staff Reports.
    RePEc:fip:fednsr:161.

    Full description at Econpapers || Download paper

  20. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

  21. Influence Diagnostics in GARCH Processes. (2002). Zhang, Xibin ; King, Maxwell.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-19.

    Full description at Econpapers || Download paper

  22. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689.

    Full description at Econpapers || Download paper

  23. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

  24. Emerging market liberalization and the impact on uncovered interest rate parity. (2002). HASAN, IFTEKHAR ; Hunter, Delroy ; Francis, Bill.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-16.

    Full description at Econpapers || Download paper

  25. Power ARCH modelling of commodity futures data on the London Metal Exchange. (2001). faff, robert ; Brooks, Robert ; Michael D. McKenzie, Heather Mitchell, Robert D. B, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:1:p:22-38.

    Full description at Econpapers || Download paper

  26. Empirical distributions of stock returns: European securities markets, 1990-95. (2001). Felipe M. Aparicio, Javier Estrada, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:1:p:1-21.

    Full description at Econpapers || Download paper

  27. A generalized method for detecting abnormal returns and changes in systematic risk. (2001). Degennaro, Ramon ; Cyree, Ken B..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2001-8.

    Full description at Econpapers || Download paper

  28. A Re-examination of the Predictability of Economic Activity Using the Yield Spread. (2000). Kim, Dong Heon ; Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7954.

    Full description at Econpapers || Download paper

  29. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  30. Evidence on the Economics of Equity Return Volatility Clustering. (2000). Connolly, Robert ; Stivers, Christopher T..
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1575.

    Full description at Econpapers || Download paper

  31. Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination. (2000). Ebell, Monique.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1554.

    Full description at Econpapers || Download paper

  32. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

    Full description at Econpapers || Download paper

  33. Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk. (1999). Manfredo, Mark ; Leuthold, Raymond M..
    In: Finance.
    RePEc:wpa:wuwpfi:9908002.

    Full description at Econpapers || Download paper

  34. Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes. (1999). Ledoit, Olivier ; Sornette, Didier ; Johansen, Anders.
    In: Finance.
    RePEc:wpa:wuwpfi:9903006.

    Full description at Econpapers || Download paper

  35. Dispersion and Volatility in Stock Returns: An Empirical Investigation. (1999). Lettau, Martin ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7144.

    Full description at Econpapers || Download paper

  36. Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version). (1999). Issler, João.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:347.

    Full description at Econpapers || Download paper

  37. Agricultural Applications of Value-at-Risk Analysis: A Perspective. (1998). Manfredo, Mark ; Leuthold, Raymond M..
    In: Finance.
    RePEc:wpa:wuwpfi:9805002.

    Full description at Econpapers || Download paper

  38. Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?. (1998). Leuthold, Raymond M. ; Wei, Anning .
    In: Finance.
    RePEc:wpa:wuwpfi:9805001.

    Full description at Econpapers || Download paper

  39. Endogenous Uncertainty: A Unified View of Market Volatility. (1998). Kurz, Mordecai.
    In: Working Papers.
    RePEc:wop:stanec:98013.

    Full description at Econpapers || Download paper

  40. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:98-16.

    Full description at Econpapers || Download paper

  41. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  42. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-29.

    Full description at Econpapers || Download paper

  43. How Relevant is Volatility Forecasting for Financial Risk Management?. (1997). Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-45.

    Full description at Econpapers || Download paper

  44. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-37.

    Full description at Econpapers || Download paper

  45. The effects of Stamp Duty on the Level and Volatility of Equity Prices. (1997). Saporta, Victoria ; Kan, Kamhon.
    In: Bank of England working papers.
    RePEc:boe:boeewp:71.

    Full description at Econpapers || Download paper

  46. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

    Full description at Econpapers || Download paper

  47. Consumption and the Stock Market: Interpreting International Experience. (1996). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5610.

    Full description at Econpapers || Download paper

  48. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Lumsdaine, Robin ; Jones, Charles M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

    Full description at Econpapers || Download paper

  49. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

    Full description at Econpapers || Download paper

  50. Optimal Trading Strategy When Return Process is AR(1). (). Wei, LI ; Lam, Kin.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:16.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 21:11:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.