Market heterogeneities and the causal structure of volatility-Reference-Cited by-同舟云学术

Market heterogeneities and the causal structure of volatility

Published:2003-08 Issue:4 Volume:3 Page:320-331
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lynch Paul E,Zumbach Gilles O

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1088/1469-7688/3/4/308

Reference23 articles.

1. Andersen, T G, Bollerslev, T, Diebold, F X and Labys, P. The distribution of exchange rate volatility. Working Paper. pp.1–45. Department of Finance, Stern Business School.

2. Andersen, T G, Bollerslev, T, Diebold, F X and Labys, P. Modeling and forecasting realized volatility. NBER Working Paper. Cambridge, MA: 8160 The National Bureau of Economic Research.

3. ”Direct” causal cascade in the stock market

4. Fractionally integrated generalized autoregressive conditional heteroskedasticity

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