//--> //--> //-->
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
~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
| 1 applied filter
Year of publication
From:
To:
Subject
All
Continuous time
4
S&P 500
4
VIX
4
high frequency data
4
implied volatility
4
stochastic volatility
4
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
4
Undetermined
2
Type of publication
All
Book / Working Paper
5
Article
2
Language
All
Undetermined
5
English
2
Author
All
McAleer, Michael
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Andersen, Torben G.
14
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
Trimborn, Timo
13
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
10
Diebold, Francis X.
9
Federici, Daniela
9
Flaschel, Peter
9
Gandolfo, Giancarlo
8
Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Cui, Zhenyu
6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Hernández-Lerma, Onésimo
6
Herzberg, Frederik
6
Kleinow, Torsten
6
Matsushima, Noriaki
6
Nijkamp, Peter
6
Patuelli, Roberto
6
more ...
less ...
Institution
All
Department of Economics and Finance, College of Business and Economics
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
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
Documentos de Trabajo del ICAE
1
Econometric Institute Research Papers
1
Econometric Reviews
1
KIER Working Papers
1
MPRA Paper
1
Managerial Finance
1
Working Papers in Economics
1
more ...
less ...
Source
All
RePEc
7
Showing
1
-
7
of
7
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 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:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->