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~person:"McAleer, Michael"
~source:"repec"
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Search: subject:"Continuous Time"
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McAleer, Michael
Posch, Olaf
15
Andersen, Torben G.
11
Scalas, Enrico
11
Wälde, Klaus
11
Bollerslev, Tim
10
Trimborn, Timo
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Diebold, Francis X.
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Federici, Daniela
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Gao, Jiti
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4
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Ishida, Isao
4
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Maggi, Bernardo
4
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4
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Oya, Kosuke
4
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4
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4
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Yu, Jun
4
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3
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RePEc
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1
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … popular
continuous-time
models to short intraday time intervals, and estimate the parameters using such data, can lead to …
Persistent link: https://www.econbiz.de/10009142363
Saved in:
2
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:
3
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:
4
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:
5
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Department of Economics and Finance, College of …
-
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/10008836557
Saved in:
6
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:
7
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:
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