Financial econometrics: Past developments and future challenges
From MaRDI portal
Publication:1841086
DOI10.1016/S0304-4076(00)00052-XzbMath0961.62092MaRDI QIDQ1841086
Publication date: 5 June 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
A mean reverting process for pricing treasury bills and futures contracts, A multidimensional framework for financial-economic decisions, An introduction to hypergeometric functions for economists, Bootstrap prediction for returns and volatilities in GARCH models, Parametric and nonparametric models and methods in financial econometrics, Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments, Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Analysis of high dimensional multivariate stochastic volatility models
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- ARCH modeling in finance. A review of the theory and empirical evidence
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Long-term equity anticipation securities and stock market volatility dynamics
- Spectral GMM estimation of continuous-time processes
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Generalized autoregressive conditional heteroscedasticity
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Log-periodogram regression of time series with long range dependence
- Nonparametric risk management and implied risk aversion
- Econometric specification of the risk neutral valuation model
- Temporal Aggregation of Garch Processes
- Simulated Moments Estimation of Markov Models of Asset Prices
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- The Estimation of Economic Relationships using Instrumental Variables
- Simulation and the Asymptotics of Optimization Estimators
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Price Variability-Volume Relationship on Speculative Markets
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Long-Term Memory in Stock Market Prices
- LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- The Econometrics of Ultra-high-frequency Data
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Nonparametric Pricing of Interest Rate Derivative Securities
- Common Persistence in Conditional Variances
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Modeling and Forecasting Realized Volatility
