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GO-GARCH: a multivariate generalized orthogonal GARCH model (replication data)
Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of... -
A theoretical comparison between integrated and realized volatility (replicat...
In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic... -
Bridging the gap between the distribution of realized (ECU) volatility and AR...
This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket... -
New frontiers for arch models (replication data)
In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide-ranging... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte...
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant... -
Estimating quadratic variation using realized variance (replication data)
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)?that is, sums of M squared returns. This econometrics has been motivated by... -
Detecting multiple breaks in financial market volatility dynamics (replicatio...
The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class...
