Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
暂无分享,去创建一个
[1] Ralf Becker,et al. Does implied volatility provide any information beyond that captured in model-based volatility forecasts? , 2007 .
[2] Fangjian Fu. Idiosyncratic Risk and the Cross-Section of Expected Stock Returns , 2009 .
[3] John Krainer,et al. Stock market volatility , 2002 .
[4] Greg N. Gregoriou,et al. Stock market volatility , 2009 .
[5] Jeffrey R. Russell,et al. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data , 1998 .
[6] G. Schwert. Why Does Stock Market Volatility Change Over Time? , 1988 .
[7] Chu Zhang,et al. A Reexamination of the Causes of Time-Varying Stock Return Volatilities , 2010, Journal of Financial and Quantitative Analysis.
[8] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[9] Yisong S. Tian,et al. Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r , 2009 .
[10] K. French,et al. Expected stock returns and volatility , 1987 .
[11] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[12] Yisong S. Tian,et al. The Model-Free Implied Volatility and Its Information Content , 2005 .
[13] R. Whaley. Understanding the VIX , 2009, The Journal of Portfolio Management.
[14] F. Diebold,et al. The Distribution of Realized Exchange Rate Volatility , 2000 .
[15] F. Diebold,et al. The distribution of realized stock return volatility , 2001 .
[16] R. Officer. The Variability of the Market Factor of the New York Stock Exchange. , 1973 .
[17] G. Schwert,et al. Heteroskedasticity in Stock Returns , 1989 .
[18] F. Diebold,et al. The Distribution of Exchange Rate Volatility , 1999 .
[19] Joachim Grammig,et al. A family of autoregressive conditional duration models , 2006 .
[20] Sydney C. Ludvigson,et al. The Empirical Risk-Return Relation: A Factor Analysis Approach , 2005 .
[21] Yacine Ait-Sahalia,et al. Out of Sample Forecasts of Quadratic Variation , 2008 .
[22] G. William Schwert,et al. Stock Volatility and the Crash , 1990 .
[23] Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach , 2012 .
[24] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[25] E. Fama. Inflation Uncertainty and Expected Returns on Treasury Bills , 1976, Journal of Political Economy.
[26] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[27] Yexiao Xu,et al. When Does Idiosyncratic Risk Really Matter? , 2010 .
[28] Idiosyncratic Risk Matters! , 2002 .
[29] Hui Guo,et al. Average Idiosyncratic Volatility in G7 Countries , 2007 .
[30] R. C. Merton,et al. On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .