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

Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields. (2007). Connolly, Robert ; Hightower, Kenneth N ; Guner, Nuray Z.
In: Journal of Money, Credit and Banking.
RePEc:wly:jmoncb:v:39:y:2007:i:2-3:p:689-702.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 29

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

References

References cited by this document

  1. Anderson, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys. (2001) “The Distribution of Realized Exchange Rate Volatility. Journal of the American Statistical Association, 96:453, 42–55. .

  2. Andrews, Donald W. (1993) “Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61:4, 821–56. .

  3. Andrews, Donald W., and Werner Ploberger. (1994) “Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative. Econometrica, 62:6, 1383–1414. .

  4. Ang, Andrew, and Geert Bekaert. (2002a) “Short Rate Nonlinearities and Regime Switches. Journal of Economic Dynamics and Control, 26:7–8, 1243–74. .

  5. Ang, Andrew, and Geert Bekaert. (2002b) “Regime Switches in Interest Rates. Journal of Business and Economic Statistics, 20:2, 163–82.

  6. Backus, David K., and Stanley E. Zin. (1993) “Long‐Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates. Journal of Money, Credit and Banking, 25:3, 681–700. .

  7. Bai, Jushan, and Pierre Perron. (2003) “Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18:1, 1–22. .

  8. Baillie, Richard T., Ching‐Fan Chung, and Margie A. Tieslau. (1996) “Analyzing Inflation by the Fractionally Integrated ARFIMA‐GARCH Model. Journal of Applied Econometrics, 11:1, 23–40. .

  9. Baillie, Richard T., Young‐Wook Han, and Tae‐Go Kwon. (2002) “Further Long Memory Properties of Inflationary Shocks. Southern Economic Journal, 68:3, 496–510. .

  10. Banerjee, Anindya, and Giovanni Urga. (2005) “Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview. Journal of Econometrics, 129:1–2, 1–34. .

  11. Baum, Chistopher F., John T. Barkoulas, and Mustafa Caglayan. (1999) “Persistence in International Inflation Rates. Southern Economic Journal, 65:4, 900–13. .

  12. Bollerslev, Tim, and Hans O. Mikkelsen. (1996) “Modeling and Pricing Long‐Memory in Stock Market Volatility. Journal of Econometrics, 73:1, 151–84. .

  13. Bollerslev, Tim, Jun Cai, and Frank M. Song. (2000) “Intraday Periodicity, Long‐Memory Volatility, and Macroeconomic Announcements Effects in the U.S. Treasury Bond Market. Journal of Empirical Finance 7:1, 37–55. .
    Paper not yet in RePEc: Add citation now
  14. Diebold, Francis X., and Atsushi Inoue. (2002) “Long Memory and Regime Switching. Journal of Econometrics, 105:1, 131–59. .
    Paper not yet in RePEc: Add citation now
  15. Geweke, John F., and Susan Porter‐Hudak. (1984) “The Estimation and Application of Long Memory Time Series Models. Journal of Time Series Analysis, 4, 221–38. .
    Paper not yet in RePEc: Add citation now

  16. Giraitis, Liudas, Piotr Kokoszka, Remigijus Leipus, and Gilles Teyssiere. (2003) “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels. Journal of Econometrics, 112:2, 265–94. .

  17. Granger, Clive W. J. (1999) “Aspects of Research Strategies for Time Series Analysis.” Unpublished presentation to New Developments in Time Series Economics Conference, New Haven , CT . .
    Paper not yet in RePEc: Add citation now

  18. Granger, Clive W. J., and Namwon Hyung. (2004) “Occasional Structural Breaks and Long Memory with an Application to the S&P 500 Absolute Stock Returns. Journal of Empirical Finance, 11:3, 399–421. .

  19. Granger, Clive W. J., and Roselyne Joyeux. (1980) “An Introduction to Long‐Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1, 15–29. .

  20. Gray, Stephen F. (1996) “Modeling the Conditional Distribution of Interest Rates as a Regime‐Switching Process. Journal of Financial Economics, 42:1, 27–62. .

  21. Hamilton, James. (1994) Time Series Analysis. Princeton , NJ : Princeton University Press. .
    Paper not yet in RePEc: Add citation now

  22. Hassler, Uwe, and Jurgen Wolters. (1995) “Long Memory in Inflation Rates: International Evidence. Journal of Business and Economic Statistics, 13:1, 37–45. .

  23. Kwiatkowski, Denis, Peter C.B. Phillips, Peter Schmidt, and Yongcheol Shin. (1992) “Testing the Null Hypothesis of Stationarity Against the Alternatives of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? Journal of Econometrics, 54:1–3, 159–78. .

  24. Lee, Dongin, and Peter Schmidt. (1996) “On the Power of the KPSS Test of Stationarity Against Fractionally‐Integrated Alternatives. Journal of Econometrics, 73:1, 285–302. .

  25. Liu, Ming. (2000) “Modeling Long Memory in Stock Market Volatility. Journal of Econometrics, 99:1, 139–71. .

  26. Lo, Andrew W. (1991) “Long‐Term Memory in Stock Market Prices. Econometrica, 59:5, 1279–313. .
    Paper not yet in RePEc: Add citation now
  27. Lobato, Ignacio N., and Nathan E. Savin. (1998) “Real and Spurious Long‐Memory Properties of Stock‐Market Data. Journal of Business and Economic Statistics, 16:3, 261–68. .
    Paper not yet in RePEc: Add citation now

  28. Parke, William R. (1999) “What Is Fractional Integration?. Review of Economics and Statistics, 81:4, 632–38. .

  29. Smith, Aaron. (2005) “Level Shifts and the Illusion of Long Memory in Economic Time Series. Journal of Business and Economics Statistics, 23:3, 321–35. .

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. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities. (2012). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18078.

    Full description at Econpapers || Download paper

  5. Announcements, financial operations or both? Generalizing central banks FX reaction functions. (2009). Gnabo, Jean-Yves ; Bernal, Oscar.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:23:y:2009:i:4:p:367-394.

    Full description at Econpapers || Download paper

  6. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  7. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1598.

    Full description at Econpapers || Download paper

  8. 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

  9. Intervention Policy of the BoJ: A Unified Approach. (2007). Beine, Michel ; Bernal, Oscar ; Lecourt, Christelle ; Gnabo, Jean-Yves.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1894.

    Full description at Econpapers || Download paper

  10. Are volatility estimators robust with respect to modeling assumptions?. (2007). Mykland, Per A. ; Li, Yingying.
    In: Papers.
    RePEc:arx:papers:0709.0440.

    Full description at Econpapers || Download paper

  11. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:777.

    Full description at Econpapers || Download paper

  12. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:175.

    Full description at Econpapers || Download paper

  13. Simple (but effective) tests of long memory versus structural breaks. (2006). Shimotsu, Katsumi.
    In: Working Papers.
    RePEc:qed:wpaper:1101.

    Full description at Econpapers || Download paper

  14. Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data. (2006). Wongswan, Jon ; Howorka, Edward ; Cai, Fang.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:863.

    Full description at Econpapers || Download paper

  15. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Chaboud, Alain ; Howorka, Edward.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:862.

    Full description at Econpapers || Download paper

  16. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

  17. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006703.

    Full description at Econpapers || Download paper

  18. 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

  19. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models. (2005). Deo, Rohit ; Chen, Willa.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501006.

    Full description at Econpapers || Download paper

  20. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
    RePEc:uts:rpaper:168.

    Full description at Econpapers || Download paper

  21. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
    RePEc:icr:wpicer:23-2005.

    Full description at Econpapers || Download paper

  22. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

    Full description at Econpapers || Download paper

  23. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-63.

    Full description at Econpapers || Download paper

  24. Why do Central Banks intervene secretly? preliminary evidence of the BoJ. (2005). Beine, Michel ; Bernal, Oscar.
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:05-09rs.

    Full description at Econpapers || Download paper

  25. Exchange Rate Volatility and the Mixture of Distribution Hypothesis. (2005). Sucarrat, Genaro ; Rime, Dagfinn ; Bauwens, Luc ; Luc, Bauwens ; Genaro, SUCARRAT.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2005043.

    Full description at Econpapers || Download paper

  26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:upo:upopwp:20.

    Full description at Econpapers || Download paper

  27. Exchange-rate uncertainty and workers remittances. (2004). Pozo, Susan ; Hysenbegasi, Alketa ; Higgins, Matthew L..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:403-411.

    Full description at Econpapers || Download paper

  28. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:77.

    Full description at Econpapers || Download paper

  29. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:487.

    Full description at Econpapers || Download paper

  30. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

    Full description at Econpapers || Download paper

  31. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:273.

    Full description at Econpapers || Download paper

  32. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004365.

    Full description at Econpapers || Download paper

  33. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws046315.

    Full description at Econpapers || Download paper

  34. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

  35. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2003-622.

    Full description at Econpapers || Download paper

  36. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9433.

    Full description at Econpapers || Download paper

  37. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

  38. Time Variation in the Tail Behaviour of Bund Futures Returns. (2002). Upper, Christian ; Werner, Thomas.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4190.

    Full description at Econpapers || Download paper

  39. Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates. (2002). Schuermann, Til ; Kuritzkes, Andrew ; Weiner, Scott M..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-02.

    Full description at Econpapers || Download paper

  40. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

  41. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

  42. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

    Full description at Econpapers || Download paper

  43. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

    Full description at Econpapers || Download paper

  44. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

  45. Information Content of Volatility Forecasts at Medium-term Horizons. (2002). Kisinbay, Turgut ; Galbraith, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-21.

    Full description at Econpapers || Download paper

  46. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

  47. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  48. Flexible multivariate GARCH modeling with an application to international stock markets. (2001). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier.
    In: Economics Working Papers.
    RePEc:upf:upfgen:578.

    Full description at Econpapers || Download paper

  49. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  50. Long Memory and Regime Switching. (2000). Inoue, Atsushi ; Diebold, Francis.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0264.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-21 23:42:29 || 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.