Volatility contagion: a range-based volatility approach
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Publication:738077
DOI10.1016/J.JECONOM.2011.07.004zbMATH Open1441.62646OpenAlexW2023286212MaRDI QIDQ738077FDOQ738077
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.004
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Cites Work
- Title not available (Why is that?)
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Title not available (Why is that?)
- Measuring volatility with the realized range
- Realized range-based estimation of integrated variance
- Model selection tests for nonlinear dynamic models
- A causality-in-variance test and its application to financial market prices
- A test for volatility spillover with application to exchange rates
Cited In (7)
- Volatility forecasting using stochastic conditional range model with leverage effect
- Improving forecasts with the co-range dynamic conditional correlation model
- Robust minimum distance estimators for the CARR(1,1) model
- Multivariate Wishart stochastic volatility and changes in regime
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Statistical inference of locally stationary functional coefficient models
- Stock market contagion: a new approach
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