//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~language:"und"
~person:"McAleer, Michael"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Continuous Time"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
Continuous time
2
S&P 500
2
VIX
2
high frequency data
2
implied volatility
2
stochastic volatility
2
Continuous time processes
1
Continuous-time model
1
Finance
1
Financial econometrics
1
Forecasting
1
Gearing
1
High frequency data
1
High-frequency data
1
Implied volatility
1
Quadratic variation
1
Realized volatility
1
Risk
1
S&P500
1
Stochastic volatility
1
Stock prices
1
Trading rules
1
VIX.
1
Volatility
1
continuous time
1
correlation test
1
dynamic additive model
1
estimation of realized volatility
1
factor model
1
long-range dependence
1
more ...
less ...
Online availability
All
Free
3
Undetermined
2
Type of publication
All
Book / Working Paper
3
Article
2
Language
All
Undetermined
English
2
Author
All
McAleer, Michael
Scalas, Enrico
10
Friedman, Daniel
6
Guo, Xianping
6
Hernández-Lerma, Onésimo
6
Oprea, Ryan
6
Prieto-Rumeau, Tomás
6
Andersen, Torben G.
5
Bollerslev, Tim
5
Gao, Jiti
5
Hong, Yongmiao
5
Posch, Olaf
5
Trimborn, Timo
5
Augeraud-Véron, Emmanuelle
4
Casas, Isabel
4
D'Albis, Hippolyte
4
Diebold, Francis X.
4
Gandolfo, Giancarlo
4
Guerrazzi, Marco
4
Horsley, Anthony
4
Kleinow, Torsten
4
Mainardi, Francesco
4
Raberto, Marco
4
Behringer, Stefan
3
Cardaliaguet, Pierre
3
Federici, Daniela
3
Folmer, Henk
3
Gourdel, Pascal
3
Hess, Wolfgang
3
Kristensen, Dennis
3
Kutner, Ryszard
3
Laraki, Rida
3
Logeay, Camille
3
Maggi, Bernardo
3
Meerschaert, Mark M.
3
Nijkamp, Peter
3
Patuelli, Roberto
3
Persson, Maria
3
Platen, Eckhard
3
Touzi, Nizar
3
more ...
less ...
Institution
All
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Institute of Economic Research, Kyoto University
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
Published in...
All
Econometric Institute Research Papers
1
Econometric Reviews
1
KIER Working Papers
1
MPRA Paper
1
Managerial Finance
1
Source
All
RePEc
5
Showing
1
-
5
of
5
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 VIX
McAleer, Michael
;
Ishida, Ishida, I.
;
Oya, Oya, K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … parameters of popular
continuous-time
models can lead to nonsensical estimates due to severe intraday seasonality. A primary …
Persistent link: https://www.econbiz.de/10010837976
Saved in:
2
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Institute of Economic Research, Kyoto University
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … parameters of popular
continuous-time
models can lead to nonsensical estimates due to severe intraday seasonality. A primary …
Persistent link: https://www.econbiz.de/10008828716
Saved in:
3
Econometric modelling in finance and risk management: An overview
Gao, Jiti
;
McAleer, Michael
;
Allen, Dave
-
Volkswirtschaftliche Fakultät, …
-
2006
volatility, modeling time series and
continuous-time
models with long-range dependence, estimation and specification testing of …
Persistent link: https://www.econbiz.de/10005786907
Saved in:
4
Estimating the leverage parameter of
continuous-time
stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1048-1067
Purpose – The purpose of this paper is to propose a new method for estimating
continuous-time
stochastic volatility (SV …
Persistent link: https://www.econbiz.de/10010675798
Saved in:
5
Realized Volatility: A Review
McAleer, Michael
;
Medeiros, Marcelo
- In:
Econometric Reviews
27
(
2008
)
1-3
,
pp. 10-45
main results. A
continuous
time
specification provides the theoretical foundation for the main results in this literature …
Persistent link: https://www.econbiz.de/10005511988
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->