Asset Price Dynamics, Volatility, and Prediction

By A. Gyles. 2007

306 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/92d1fa7ce71099bd64a648fd0ad48f87e835ab72

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Citations in the corpus

Forecasting with Option-Implied Information (2012, unknown): “Bakshi, Cao, and Chen (1997) re-estimate the model daily treating V0 as a fifth parameter to be estimated along with the structural parameters θ, κ, ρ, and σV .”
Conditional (2019, unknown): “There are various methods to create de-identified faces that resemble real humans and maintain visual fidelity, compatible with different tasks and scenarios.”
Risk Everywhere: Modeling and Managing Volatility (2018, unknown): “10 The book by Taylor (1986), in particular, provides some of the earliest empirical evidence explicitly highlighting the similarities in the autocorrelations of absolute and squared daily returns across assets and asset classes.”
Optimal predictions of powers of conditionally heteroscedastic processes (2013, methodology): “As argued by Taylor (2007, p. 398), "return outliers are amplified when they are squared and then forecast errors are typically very large compared with other times. Consequently another popular proxy [of volatility] is the absolute return." Indeed, when one suspects that second or fourth-order mome”
ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (2013, unknown): “In a survey of the existing literature, Taylor (2005) noted that the autocorrelation function for the realized variance is typically estimated to start out between 0.”
GARCH Models (2010, unknown): “…(2009) are devoted to GARCH and several books devote a chapter to GARCH: Mills (1993), Hamilton (1994), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Tsay (2002), Franke, Härdle and Hafner (2004), McNeil, Frey and Embrechts (2005), Taylor (2007) and Andersen et al. (2009).”
Stochastic behavioral asset pricing models and the stylized facts (2008, methodology): “…the volatility clustering phenomenon has been known for a long time, models covering this feature have appeared rst with Engle's (1983) seminal proposal of the ARCH framework that has spurred a plethora of models with nonlinear dependency in second movements (cf. Taylor, 2005, for an overview).”