Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Fire sales forensics: measuring endogenous risk. (2013). Wagalath, Lakshithe ; Cont, Rama.
In: Working Papers.
RePEc:ies:wpaper:f201301.

Full description at Econpapers || Download paper

Cited: 48

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors. (2021). Gualdi, Stanislao ; Challet, Damien ; Primicerio, Kevin.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00288-0.

    Full description at Econpapers || Download paper

  2. Bank Solvency Stress Tests with Fire Sales. (2021). Uroevi, Branko ; Summer, Martin ; Breuer, Thomas.
    In: Working Papers.
    RePEc:onb:oenbwp:235.

    Full description at Econpapers || Download paper

  3. Fire Sales, Default Cascades and Complex Financial Networks. (2021). Sulem, Agnes ; Cao, Zhongyuan ; Amini, Hamed.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03425599.

    Full description at Econpapers || Download paper

  4. ESG investing: A chance to reduce systemic risk. (2021). Nicolosi, Marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000474.

    Full description at Econpapers || Download paper

  5. Trading with the Crowd. (2021). Voss, Moritz ; Neuman, Eyal.
    In: Papers.
    RePEc:arx:papers:2106.09267.

    Full description at Econpapers || Download paper

  6. .

    Full description at Econpapers || Download paper

  7. .

    Full description at Econpapers || Download paper

  8. Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20200007.

    Full description at Econpapers || Download paper

  9. A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00260-7.

    Full description at Econpapers || Download paper

  10. Compound poisson models for weighted networks with applications in finance. (2020). , Luitgard ; Gandy, Axel.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:104185.

    Full description at Econpapers || Download paper

  11. Capital regulation under price impacts and dynamic financial contagion. (2020). Feinstein, Zachary.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:281:y:2020:i:2:p:449-463.

    Full description at Econpapers || Download paper

  12. Reconstructing and stress testing credit networks. (2020). Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930212x.

    Full description at Econpapers || Download paper

  13. Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:668.

    Full description at Econpapers || Download paper

  14. Modelling fire sale contagion across banks and non-banks. (2020). Ferrara, Gerardo ; Ramadiah, Amanah ; Caccioli, Fabio.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0878.

    Full description at Econpapers || Download paper

  15. Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact. (2020). Chen, Yuanyuan ; Luo, Hezhi ; Li, Duan ; Zhang, Xianye.
    In: Papers.
    RePEc:arx:papers:2012.07368.

    Full description at Econpapers || Download paper

  16. Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils.
    In: Papers.
    RePEc:arx:papers:2006.08110.

    Full description at Econpapers || Download paper

  17. The hyperbolic geometry of financial networks. (2020). Nargang, Stephanie ; Keller-Ressel, Martin.
    In: Papers.
    RePEc:arx:papers:2005.00399.

    Full description at Econpapers || Download paper

  18. Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc.
    In: Papers.
    RePEc:arx:papers:2002.03319.

    Full description at Econpapers || Download paper

  19. An SPDE model for systemic risk with endogenous contagion. (2019). Sojmark, Andreas ; Hambly, Ben.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00396-1.

    Full description at Econpapers || Download paper

  20. Strategic fire-sales and price-mediated contagion in the banking system. (2019). Wagalath, Lakshithe ; Braouezec, Yann.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:274:y:2019:i:3:p:1180-1197.

    Full description at Econpapers || Download paper

  21. Interconnected Banks and Systemically Important Exposures. (2019). Kok, Christoffer ; Halaj, Grzegorz ; d'Errico, Marco ; battiston, stefano ; Derrico, Marco ; Roncoroni, Alan .
    In: Staff Working Papers.
    RePEc:bca:bocawp:19-44.

    Full description at Econpapers || Download paper

  22. Capital Regulation under Price Impacts and Dynamic Financial Contagion. (2019). Feinstein, Zachary.
    In: Papers.
    RePEc:arx:papers:1807.02711.

    Full description at Econpapers || Download paper

  23. Obligations with Physical Delivery in a Multi-Layered Financial Network. (2019). Feinstein, Zachary.
    In: Papers.
    RePEc:arx:papers:1702.07936.

    Full description at Econpapers || Download paper

  24. A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL. (2018). Wagalath, Lakshithe ; Zubelli, Jorge P.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500103.

    Full description at Econpapers || Download paper

  25. Reconstructing and stress testing credit networks. (2018). Fricke, Daniel ; Caccioli, Fabio ; Ramadiah, Amanah.
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201884.

    Full description at Econpapers || Download paper

  26. Systematic Systemic Stress Tests. (2018). Summer, Martin ; Breuer, Thomas.
    In: Working Papers.
    RePEc:onb:oenbwp:225.

    Full description at Econpapers || Download paper

  27. Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata.
    In: Papers.
    RePEc:arx:papers:1810.01372.

    Full description at Econpapers || Download paper

  28. Reconstruction methods for networks: the case of economic and financial systems. (2018). Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido ; Squartini, Tiziano.
    In: Papers.
    RePEc:arx:papers:1806.06941.

    Full description at Econpapers || Download paper

  29. Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio.
    In: Papers.
    RePEc:arx:papers:1802.05139.

    Full description at Econpapers || Download paper

  30. Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In ; Poledna, Sebastian.
    In: Papers.
    RePEc:arx:papers:1802.00311.

    Full description at Econpapers || Download paper

  31. An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Sojmark, Andreas ; Hambly, Ben.
    In: Papers.
    RePEc:arx:papers:1801.10088.

    Full description at Econpapers || Download paper

  32. Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2018). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1509.00607.

    Full description at Econpapers || Download paper

  33. LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

    Full description at Econpapers || Download paper

  34. Models of Financial Stability and their Application in Stress Tests. (2017). Farmer, J. ; Wetzer, Thom ; Keinniejenhuis, Alissa M ; Aymanns, Christoph .
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:05.

    Full description at Econpapers || Download paper

  35. Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; Bouchaud, Jean-Philippe ; da Gama, Joo.
    In: Post-Print.
    RePEc:hal:journl:hal-01244465.

    Full description at Econpapers || Download paper

  36. Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). , Peter ; PEter, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:3010.

    Full description at Econpapers || Download paper

  37. Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; PEter, .
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2110.

    Full description at Econpapers || Download paper

  38. From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks. (2017). Saracco, Fabio ; Squartini, Tiziano ; Caldarelli, Guido ; Straka, Mika J.
    In: Papers.
    RePEc:arx:papers:1710.10143.

    Full description at Econpapers || Download paper

  39. INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS. (2016). Cont, Rama ; Wagalath, Lakshithe.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:02:n:s0219024916500102.

    Full description at Econpapers || Download paper

  40. An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect. (2016). Chen, Nan ; Yao, David D ; Liu, Xin.
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:5:p:1089-1108.

    Full description at Econpapers || Download paper

  41. Statistically validated network of portfolio overlaps and systemic risk. (2016). Di Clemente, Riccardo ; Challet, Damien ; Primicerio, Kevin ; Cimini, Giulio ; Gualdi, Stanislao.
    In: Post-Print.
    RePEc:hal:journl:hal-01705092.

    Full description at Econpapers || Download paper

  42. Feedback effects and endogenous risk in financial markets. (2016). Wagalath, Lakshithe.
    In: Finance.
    RePEc:cai:finpug:fina_372_0039.

    Full description at Econpapers || Download paper

  43. The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks. (2016). Feinstein, Zachary ; El-Masri, Fatena .
    In: Papers.
    RePEc:arx:papers:1507.01847.

    Full description at Econpapers || Download paper

  44. Financial Contagion and Asset Liquidation Strategies. (2016). Feinstein, Zachary.
    In: Papers.
    RePEc:arx:papers:1506.00937.

    Full description at Econpapers || Download paper

  45. The impact of systemic and illiquidity risk on financing with risky collateral. (2015). Pirino, Davide ; Lillo, Fabrizio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:50:y:2015:i:c:p:180-202.

    Full description at Econpapers || Download paper

  46. Do investors trade too much? A laboratory experiment. (2015). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; da Gama, Joao ; Bouchaud, Jean-Philippe.
    In: Papers.
    RePEc:arx:papers:1512.03743.

    Full description at Econpapers || Download paper

  47. Institutional Investors and the Dependence Structure of Asset Returns. (2014). Cont, Rama ; Wagalath, Lakshithe.
    In: Working Papers.
    RePEc:ies:wpaper:f201401.

    Full description at Econpapers || Download paper

  48. Modeling the rebalancing slippage of Leveraged Exchange-Traded Funds. (2013). Wagalath, Lakshithe.
    In: Working Papers.
    RePEc:ies:wpaper:f201302.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andersen, T., Bollerslev, T., Diebold, F., and Labys, P. (2003). Modeling and forecasting realized volatility. Econometrica, 71(2):579–625.

  2. Anton, M. and Polk, C. (2008). Connected stocks. Working paper, London Sch. Econ.
    Paper not yet in RePEc: Add citation now

  3. Bailey, N., Kapetanios, G., and Pesaran, M. (2012). Exponent of cross-sectional dependence: Estimation and inference. working paper.

  4. Barndorff-Nielsen, O. E. and Shephard, N. (2004). Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics. Econometrica, 72(2):885–925.
    Paper not yet in RePEc: Add citation now

  5. Boyer, B., Kumagai, T., and Yuan, K. (2006). How do crises spread? evidence from accessible and inaccessible stock indices. Journal of Finance, 61(2):957–1003,.

  6. Brunnermeier, M. (2008). Deciphering the liquidity crunch 2007-2008. Journal of Economic Perspectives, 23:77–100.
    Paper not yet in RePEc: Add citation now

  7. Brunnermeier, M. and Pedersen, L. (2005). Predatory trading. Journal of Finance, 60(4):1825–1863.

  8. Carlson, M. (2006). A brief history of the 1987 stock market crash with a discussion of the federal reserve response. FEDS working paper, 13.

  9. Cont, R. and Wagalath, L. (2012). Running for the exit: distressed selling and endogenous correlation in financial markets. Mathematical Finance, in press.
    Paper not yet in RePEc: Add citation now

  10. Cont, R., Kukanov, A., and Stoikov, S. (2010). The price impact of order book events. to appear in: Journal of financial econometrics.

  11. Coval, J. and Stafford, E. (2007). Asset fire sales (and purchases) in equity markets. Journal of Financial Economics, 86(2):479–512.
    Paper not yet in RePEc: Add citation now

  12. Da Fonseca, J., Grasselli, M., and Tebaldi, C. (2008). A multifactor volatility Heston model. Quant. Finance, 8(6):591–604.

  13. Danielsson, J., Shin, H. S., and Zigrand, J.-P. (2004). The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28(5):1069 – 1087.

  14. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate garch models. Journal of Business and Economic Statistics, 20:339–350.
    Paper not yet in RePEc: Add citation now
  15. Ethier, S. and Kurtz, T. (1986). Markov Processes: Characterization and Convergence. Wiley.
    Paper not yet in RePEc: Add citation now
  16. Fielding, E., Lo, A. W., and Yang, J. H. (2011). The National Transportation Safety Board: A model for systemic risk management. Journal Of Investment Management., 9(1).
    Paper not yet in RePEc: Add citation now

  17. Gennotte, G. and Leland, H. (1990). Market liquidity, hedging and crashes. American Economic Review, 80:999–1021.

  18. Gourieroux, C., Jasiak, J., and Sufana, R. (2009). The Wishart autoregressive process of multivariate stochastic volatility. Journal of Econometrics, 150(2):167–181.

  19. Greenwood, R. and Thesmar, D. (2011). Stock price fragility. Journal of Financial Economics, 102(3):471–490.

  20. IESEG Working Paper Series 2013-FIN-01 Fratzscher, M. (2011). Capital flows, push versus pull factors and the global financial crisis. European Central Bank working paper.
    Paper not yet in RePEc: Add citation now
  21. Ikeda, N. and Watanabe, S. (1981). Stochastic Differential Equations and Diffusion Processes. Elsevier.
    Paper not yet in RePEc: Add citation now
  22. Jacod, J. and Protter, P. (2012). Discretization of processes. Springer.
    Paper not yet in RePEc: Add citation now
  23. Jotikasthira, P., Lundblad, C., and Ramadorai, T. (2011). Asset fire sales and purchases and the international transmission of funding shocks. Journal of finance (forthcoming).
    Paper not yet in RePEc: Add citation now

  24. Khandani, A. and Lo, A. (2011). What happened to the quants in August 2007? Evidence from factors and transactions data. Journal of Financial Markets, 14:1–46.

  25. Kyle, A. and Xiong, W. (2001). Contagion as a wealth effect. The Journal of Finance, 56(4):1401–1440.
    Paper not yet in RePEc: Add citation now
  26. Obizhaeva, A. (2011). Selection bias in liquidity estimates. Working Paper.
    Paper not yet in RePEc: Add citation now

  27. Ozdenoren, E. and Yuan, K. (2008). Feedback effects and asset prices. Journal of Finance, 63(4):1939–1975.

  28. Pedersen, L. (2009). When everyone runs for the exit. International journal of central banking, 5(4):177–199.

  29. Shin, H. S. (2010). Risk and Liquidity. Oxford University Press.

  30. Shleifer, A. and Vishny, R. (1992). Liquidation values and debt capacity: A market equilibrium approach. Journal of Finance, 47(4):1343–1366.

  31. Shleifer, A. and Vishny, R. (2011). Fire sales in finance and macroeconomics. Journal of Economic Perspectives, 25(1):29–48.
    Paper not yet in RePEc: Add citation now
  32. Stelzer, R. (2010). Multivariate COGARCH(1, 1) processes. Bernoulli, 16(1):80–115.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  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 ; Cheng, Ai-Ru ; Shimatani, Takeshi .
    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). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, P..
    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 ; Swaminathan, Bhaskaran ; Sinha, Meenakshi.
    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). Roberto Ren'o, ; Bianco, Simone .
    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 ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    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). Zalewska, Ania ; Schotman, Peter C.
    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 ; Barndorff-Nielsen, Ole.
    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 ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik .
    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 ; Barndorff-Nielsen, Ole.
    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 ; Basak, Gopal K. ; Ma, Tongshu .
    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). Pesaran, M ; d'Italia, Banca ; Zaffaroni, Paolo.
    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'Econométrie et d'Economie politique (DEEP).
    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). Bandi, Federico M. ; Russell, Jeffrey R..
    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). Christoffersen, Peter ; Mazzotta, Stefano .
    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). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    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 ; Christoffersen, Peter.
    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 ; Christoffersen, Peter ; 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). Pesaran, M ; Zaffaroni, Paolo.
    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 ; Barndorff-Nielsen, Ole.
    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 ; Barndorff-Nielsen, Ole ; 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 ; Barndorff-Nielsen, Ole.
    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 ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-04 18:06:56 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.