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Forecasting and model selection in time-varying parameter models

Forecasting and model selection in time-varying parameter models
Digital文書・図像類
Potiron, Yoann2019科学研究費補助金研究成果報告書
Other Libraries in Japan
  • Subject Headinghigh frequency data

Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility

Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
Digital文書・図像類
Hansen, Peter Reinhard, Lunde, Asger, Voevb, ValeriInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Subject HeadingFinancial Volatility Beta Realized GARCH High Frequency Data

A Test for the Rank of the Volatility Process: The Random Perturbation Approach

A Test for the Rank of the Volatility Process: The Random Perturbation Approach
Digital文書・図像類
Jacod, Jean, Podolskij, MarkInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Subject Headingcentral limit theorem high frequency data homoscedasticity testing Itô ...

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Digital文書・図像類
Ishida, Isao, McAleer, Michael, Oya, KosukeInstitute of Economic Research, Kyoto University2011-02KIER Discussion Paper759
Available onlineOther Libraries in Japan
  • Subject HeadingContinuous time high frequency data stochastic volatility S&P 500...

Subsampling Cumulative Covariance Estimator

Subsampling Cumulative Covariance Estimator
Digital文書・図像類
Kanatani, Taro滋賀大学経済学部2009-02滋賀大学経済学部Working PaperNo. 104p.1-16
Other Libraries in Japan
  • Subject HeadingHigh frequency data Realized covariance Nonsynchr...

Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations

Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
Digital文書・図像類
Kanatani, TaroInstitute of Economic Research, Kyoto University2007-06KIER Discussion Paper634
Available onlineOther Libraries in Japan
  • Subject HeadingHigh frequency data Weighted realized covariance ...

A Test for Dependence and Covariance Estimator of Market Microstructure Noise

A Test for Dependence and Covariance Estimator of Market Microstructure Noise
Paper文書・図像類
Ubukata, Masato, Oya, KosukeGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2008-03Discussion Papers In Economics And Business07-03-Rev.2
Other Libraries in Japan
  • Subject Heading...s observations high frequency data

Market Efficiency and International Linkage of Stock Prices : An Analysis with High Frequency Data

Market Efficiency and International Linkage of Stock Prices : An Analysis with High Frequency Data
Paper文書・図像類
Tsutsui, Yoshiro, Hirayama, KenjiroGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2004-10Discussion Papers In Economics And Business03-04-Rev.
Other Libraries in Japan
  • Subject Headinginternational linkage stock prices market efficiency high frequency data

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