1. Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change. (2009). Valls Pereira, Pedro ; Marçal, Emerson ; Abbara, Omar ; Maral, Emerson F..
   In: MPRA Paper.
   RePEc:pra:mprapa:15624.

   Full description at Econpapers || Download paper

2. Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change. (2009). Valls Pereira, Pedro ; Marçal, Emerson ; Pereira, Pedro L. Valls, .
   In: Textos para discussão.
   RePEc:fgv:eesptd:175.

   Full description at Econpapers || Download paper

3. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe.
   In: CREATES Research Papers.
   RePEc:aah:create:2008-50.

   Full description at Econpapers || Download paper

4. Testing for co-integration in vector autoregressions with non-stationary volatility. (2007). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
   In: Discussion Papers.
   RePEc:not:notgts:07/02.

   Full description at Econpapers || Download paper

1. Andersen, T. G., T. Bollerslev, F. X. Diebold, P. Labys (2003), “Modeling and Forecasting Realized Volatility”, Econometrica, 71, 579–625.

2. Beare, B. K. (2004), “Robustifying Unit Root Tests to Permanent Changes in Innovation Variance”, Working paper, Yale University.
   Paper not yet in RePEc: Add citation now
   
3. Boswijk, H. P. (1995), “Identifiability of Cointegrated Systems”, Tinbergen Institute Discussion Paper 95-78, http://www.ase.uva.nl/pp/bin/258fulltext.pdf.
   Paper not yet in RePEc: Add citation now
   

4. Boswijk, H. P. (2001), “Testing for a Unit Root with Near-Integrated Volatility”, Tinbergen Institute Discussion Paper 01-077/4, http://www.tinbergen.nl/discussionpapers/01077.pdf.

5. Boswijk, H. P. (2005), “Adaptive Testing for a Unit Root with Nonstationary Volatility”, UvAEconometrics Discussion Paper 2005/07, http://www.ase.uva.nl/pp/bin/265fulltext.pdf.

6. Cavaliere, G. (2004), “Unit Root Tests Under Time-Varying Variances”, Econometric Reviews, 23, 259– 292.

7. Cavaliere, G. and A. M. R. Taylor (2004), “Testing for Unit Roots in Time Series Models with Nonstationary Volatility”, Working paper, University of Bologna.

8. Cavaliere, G., A. Rahbek and A. M. R. Taylor (2007), “Testing for Cointegration in Vector Autoregressions with Non-Stationary Volatility”, Working paper, University of Bologna.

9. Chan, N. H. and C. Z. Wei (1988), “Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes”, Annals of Statistics, 16, 367–401.
   Paper not yet in RePEc: Add citation now
   
10. Davidson, J. (1994), Stochastic Limit Theory. Oxford: Oxford University Press.
    Paper not yet in RePEc: Add citation now
    

11. De Jong, R. M. and J. Davidson (2000), “The Functional Central Limit Theorem and Weak Convergence to Stochastic Integrals I: Weakly Dependent Processes”, Econometric Theory, 16, 621–642.

12. Duan, J.-C. and S. R. Pliska (2004), “Option Valuation with Cointegrated Asset Prices”, Journal of Economic Dynamics and Control, 28, 727–754.

13. Engle, R. F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models ”, Journal of Business & Economic Statistics, 20, 339–350.
    Paper not yet in RePEc: Add citation now
    
14. Engle, R. F. and C. W. J. Granger (1987), “Cointegration and Error Correction: Representation, Estimation and Testing”, Econometrica, 55, 251–276.
    Paper not yet in RePEc: Add citation now
    

15. Foster, D. P. and D. B. Nelson (1996), “Continuous Record Asymptotics for Rolling Sample Variance Estimators”, Econometrica, 64, 139–174.

16. Gijbels, I., A. Pope and M. P. Wand (1999), “Understanding Exponential Smoothing via Kernel Regression ”, Journal of the Royal Statistical Society Series B, 61, 39–50.

17. Hansen, B. E. (1992), “Convergence to Stochastic Integrals for Dependent Heterogeneous Processes”, Econometric Theory, 8, 489–500.

18. Hansen, B. E. (1995), “Regression with Nonstationary Volatility”, Econometrica, 63, 1113–1132.

19. Hansen, P. R. (2002), “Generalized Reduced Rank Regression”, Brown University Working Paper No. 2002-02, http://ssrn.com/abstract=302859.

20. Hansen, P. R. (2003), “Structural Changes in the Cointegrated Vector Autoregressive Model”, Journal of Econometrics, 114, 261–295.

21. Hansen, P. R. and S. Johansen (1998), Workbook on Cointegration. Oxford: Oxford University Press.

22. Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.

23. Johansen, S. (1997), “Likelihood Analysis of the I(2) Model”, Scandinavian Journal of Statistics, 24, 433–462.
    Paper not yet in RePEc: Add citation now
    
24. Kim, T.-H., S. Leybourne and P. Newbold (2003), “Unit Root Tests with a Break in Innovation Variance ”, Journal of Econometrics, 365–387.
    Paper not yet in RePEc: Add citation now
    
25. Kristensen, D. (2006), “Nonparametric Filtering of the Realised Spot Volatility: A Kernelbased Approach”, Working paper, Columbia University, http://www.columbia.edu/∼dk2313/ workingpapers/wp files/SV-filter-22-05-06.pdf.
    Paper not yet in RePEc: Add citation now
    
26. Li, W. K., S. Ling and H. Wong (2001), “Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity”, Biometrika, 88, 1135–1152.
    Paper not yet in RePEc: Add citation now
    
27. Ling, S. and W. K. Li (1998). “Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with GARCH Errors”, Annals of Statistics, 26, 84–125.
    Paper not yet in RePEc: Add citation now
    
28. Ling, S. and W. K. Li (2003). “Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors”, Econometric Theory, 19, 541–564.
    Paper not yet in RePEc: Add citation now
    
29. Magnus, J. R. and H. Neudecker (1988), Matrix Differential Calculus with Applications in Statistics and Econometrics. Chichester: John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
    

30. Nelson, D. B. (1990), “ARCH Models as Diffusion Approximations”, Journal of Econometrics, 45, 7–38.

31. Nelson, D. B. (1996a), “Asymptotic Filtering Theory for Multivariate ARCH Models”, Journal of Econometrics, 71, 1–47.

32. Nelson, D. B. (1996b), “Asymptotically Optimal Smoothing with ARCH Models”, Econometrica, 64, 561–573.

33. Nelson, D. B. and D. P. Foster (1994), “Asymptotic Filtering Theory for Univariate ARCH Models”, Econometrica, 62, 1–41.

34. Oberhofer W. and J. Kmenta (1974), “A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models”, Econometrica, 42, 579–590.

35. Phillips, P. C. B. and K.-L. Xu (2005), “Inference in Autoregression under Heteroskedasticity”, Journal of Time Series Analysis, 27, 289–308.
    Paper not yet in RePEc: Add citation now
    

36. Seo, B. (1999), “Distribution Theory for Unit Root Tests with Conditional Heteroskedasticity”, Journal of Econometrics, 91, 113–144.

37. Seo, B. (2007), “Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity”, Journal of Econometrics, 137, 68–111.

38. Van der Vaart, A. W. (1998), Asymptotic Statistics. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    

39. Wong, H., W. K. Li and S. Ling (2005), “Joint Modeling of Cointegration and Conditional Heteroskedasticity with Applications”, Annals of the Institute of Statistical Mathematics, 57, 83–103.

1. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

   Full description at Econpapers || Download paper

2. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
   In: Working Papers in Economics.
   RePEc:cbt:econwp:13/19.

   Full description at Econpapers || Download paper

3. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
   In: Papers.
   RePEc:arx:papers:1202.1854.

   Full description at Econpapers || Download paper

4. Exchange Rate Regime and Wage Determination in Central and Eastern Europe. (2008). Ziegler, Christina ; Schnabl, Gunther.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_2471.

   Full description at Econpapers || Download paper

5. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0808.

   Full description at Econpapers || Download paper

6. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Levine's Bibliography.
   RePEc:cla:levrem:321307000000000805.

   Full description at Econpapers || Download paper

7. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12690.

   Full description at Econpapers || Download paper

8. Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital. (2006). Pastor, Lubos ; Sinha, Meenakshi ; Swaminathan, Bhaskaran.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11941.

   Full description at Econpapers || Download paper

9. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE. (2006). Lafuente, Juan Angel ; Illueca, Manuel ; Muoz, Manuel Illueca .
   In: Working Papers. Serie EC.
   RePEc:ivi:wpasec:2006-05.

   Full description at Econpapers || Download paper

10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

11. Understanding stock return predictability. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-019.

    Full description at Econpapers || Download paper

12. Equity market volatility and expected risk premium. (2006). Zhang, Lu ; Guo, Hui ; Chen, Long.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-007.

    Full description at Econpapers || Download paper

13. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

    Full description at Econpapers || Download paper

14. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

    Full description at Econpapers || Download paper

15. Unexpected volatility and intraday serial correlation. (2006). Bianco, Simone ; Roberto Ren'o, .
    In: Papers.
    RePEc:arx:papers:physics/0610023.

    Full description at Econpapers || Download paper

16. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Graversen, Sven Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

17. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

18. Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects. (2005). Kim, Jae ; Doucouliagos, Chris.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2005-22.

    Full description at Econpapers || Download paper

19. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

20. Oil price volatility and U.S. macroeconomic activity. (2005). Kliesen, Kevin ; Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:nov:p:669-84:n:v.87no.6.

    Full description at Econpapers || Download paper

21. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

22. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

23. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Graversen, Svend Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0429.

    Full description at Econpapers || Download paper

24. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

25. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

26. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1. (2004). Jagannathan, Ravi ; Ma, Tongshu ; Basak, Gopal K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10447.

    Full description at Econpapers || Download paper

27. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad ; D'Italia, Banca.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

28. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:04.10.

    Full description at Econpapers || Download paper

29. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

30. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

31. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility. (2004). Hurn, Stan ; Clements, Adam ; White, Scott I..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:46.

    Full description at Econpapers || Download paper

32. The informational content of over-the-counter currency options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

    Full description at Econpapers || Download paper

33. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

    Full description at Econpapers || Download paper

34. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

    Full description at Econpapers || Download paper

35. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

36. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

    Full description at Econpapers || Download paper

37. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

    Full description at Econpapers || Download paper

38. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

39. 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

40. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

    Full description at Econpapers || Download paper

41. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

42. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

43. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

    Full description at Econpapers || Download paper

44. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

45. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

46. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9664.

    Full description at Econpapers || Download paper

47. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

    Full description at Econpapers || Download paper

48. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

49. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; Brandt, Michael W. ; April, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

    Full description at Econpapers || Download paper

Report date: 2025-10-01 05:46:37 || Missing content? Let us know