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Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
In: Econometrics.
RePEc:wpa:wuwpem:0501015.

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Cited: 3

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Cites: 4

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Cocites: 50

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  1. Time-Changed Fast Mean-Reverting Stochastic Volatility Models. (2012). Lorig, Matthew.
    In: Papers.
    RePEc:arx:papers:1010.5203.

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  2. Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. (2012). Fouque, Jean-Pierre ; Jaimungal, Sebastian ; Lorig, Matthew.
    In: Papers.
    RePEc:arx:papers:1007.4361.

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  3. Estimation and Prediction of a Non-Constant Volatility. (2007). Abramov, Vyacheslav.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:1:p:1-23.

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References

References cited by this document

  1. Andersen, T. G. and T. Bollerslev. 1997. Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance 4: 115158.

  2. Andreou, E. and E. Ghysels. 2002. Detecting multiple breaks in financial market volatility dynamics. Journal of Applied Econometrics 17: 579600.

  3. Baillie, R. T., T. Bollerslev, and H. O. Mikkelsen. 1996. Fractionally Inte- grated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 74: 330.

  4. Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity.

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