Volatility Modeling with Heterogeneous Impulse Response Function: Introducing Non-Parametric Jumps into the FIEGARCH Model-Reference-Cited by-同舟云学术

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Volatility Modeling with Heterogeneous Impulse Response Function: Introducing Non-Parametric Jumps into the FIEGARCH Model

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Tsai Ping Chen

Publisher

Elsevier BV

Reference35 articles.

1. Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns;T G Andersen;The Journal of Finance,1997

2. Roughing it up: including jump components in the measurement, modelling and forecasting of return volatility;T G Andersen;Review of Economics and Statistics,2007

3. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications;T G Andersen;Journal of Econometrics,2007

4. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

5. A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures

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