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Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
In: Econometric Society World Congress 2000 Contributed Papers.
RePEc:ecm:wc2000:1800.

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Cites: 9

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Cocites: 50

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  1. Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models. (2003). Woerner Jeannette H. C., .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:21:y:2003:i:1/2003:p:47-68:n:6.

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  2. Realised power variation and stochastic volatility models. (2002). Barndorff-Nielsen, Ole E. ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2001-w18.

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  3. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

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  4. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

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  5. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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  6. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

  7. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

    Full description at Econpapers || Download paper

  8. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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References

References cited by this document

  1. Andersen, T.G. and T. Bollerslev (1997) IntradayPeriodicityand VolatilityPersistence in Financial Markets. Journal of Empirical Finance 4, 115-158.

  2. Andersen, T.G. and T. Bollerslev (1998) Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. International Economic Review 39(4), 885-905.

  3. Andersen, T.G., T. Bollerslev, F.X.Diebold and P.Labys (1999) The Distribution of Exchange Rate Volatility.Working paper.

  4. Baillie, R.T., T. Bollerslev, and H.O. Mikkelsen (1996) Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 74, 3-30.

  5. Bollen, B. and B. Inder (1998) A General VolatilityFramework and theGeneralised Historical VolatilityEstimator. Monash UniversityWorking Paper .

  6. Bollerslev, T. (1986) Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307-327.

  7. Drost, F.C. and B.J.M. Werker (1996) Closing the GARCH Gap: Continuous Time GARCH Modeling. Journal of Econometrics 74, 31-57.

  8. Drost, F.C. and T.E. Nijman (1993) Temporal Aggregation of GARCH Processes.

  9. Nelson,D.and D.P Foster (1995) Filtering and forecasting with misspecified ARCH models II: Making the right forecast with thewrong model. Journal of Econometrics 67, 303-335.

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