Financial Econometrics: Problems, Models, and Methods

160 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Volatility of Realized Volatility (2005, background): “A profoundly different view on the source of long memory is instead offered by, among others, Diebold and Inoue (2001), Gourieroux and Jasiak (2001), Granger and Hyung (2004), Granger and Teräsvirta (1999), and Mikosch and Starica (2004), who provide theoretical justification and Monte Carlo…”
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2012, background): “Discussion • The model with uncertainty zones accommodates the inherent properties of prices, durations, and microstructure noise (see Engle 2000; Gourieroux and Jasiak 2001; Hansen and Lunde 2006, for the different features of these quantities) together with a semi-martingale efficient price.”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “In Cont et al. (2010) the authors conclude that “. . . historical Value-at-Risk, while failing to be subadditive, leads to a more robust procedure than alternatives such as Expected Shortfall”. Moreover, “the conflict we have noted between robustness of a risk measurement procedure and the subadditi”