✦ LIBER ✦

Estimating the distribution of volatility of realized stock returns and exchange rate changes

✍ Scribed by Mikael Linden

Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 435 KB
Volume: 352
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.12.024

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Comment on the paper by Linden [Estimati

Comment on the paper by Linden [Estimating the distribution of volatility of realized stock returns and exchange rate changes, Physica A 352 (2005) 573–583]

✍ Saralees Nadarajah; Samuel Kotz 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 84 KB

An outlier robust GARCH model and foreca

An outlier robust GARCH model and forecasting volatility of exchange rate returns

✍ Beum-Jo Park 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 143 KB 👁 2 views

## Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for do

Weather effects on the returns and volat

Weather effects on the returns and volatility of the Shanghai stock market

✍ Sang Hoon Kang; Zhuhua Jiang; Yeonjeong Lee; Seong-Min Yoon 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 527 KB

The economics of exchange rate volatilit

The economics of exchange rate volatility asymmetry

✍ Michael McKenzie 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 151 KB

## Abstract One commonly observed feature of financial market volatility is the presence of asymmetry whereby shocks to the market do not generate equal responses. This phenomenon has been attributed to the leverage effect for stock markets. For exchange rates, asymmetry has also been documented wi

Forecasting financial volatility of the

Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model

✍ Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P. Zarangas 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 235 KB 👁 1 views

## Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion

A comparative study of range-based stock

A comparative study of range-based stock return volatility estimators for the German market

✍ Neda Todorova; Sven Husmann 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 166 KB 👁 1 views

We thank the editor, Robert Webb, and an anonymous referee for their helpful comments. We also thank Thorben Lubnau, Tyge-F. Kummer, and the participants of the 2nd International Finance Conference of the Indian Institute of Management, Calcutta for their suggestions.