Volatility and time series econometrics: essays in honor of Robert Engle

By Long Kang. 2011

70 citations recorded by the source corpus.

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Volatility Spillovers Across Petroleum Markets (2015, methodology): “Barndorff-Nielsen et al. (2010) show the limiting behavior of the realized se 2 mivariance, which converges to 1/2 ∫ 0 t σ s ds and the sum of the jumps due to negative and positive returns.”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “This development then enabled the emergence of yet a new measure of volatility– realized semivariance–due to Barndorff-Nielsen et al. (2010).”
Macroeconomics and Volatility: Data, Models, and Estimation (2010, unknown): “Then, by an appeal to the Law of Large Numbers, it substitutes the integral in (19) by a mean:”
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015, methodology): “In practice, the difficulties are the choice of the parametric form (as illustrated by Bollerslev (2008), there exists a plethora of GARCH formulations) and the estimation of the parameter ϑ0.”