Common trends in global volatility-Reference-Cited by-同舟云学术

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Common trends in global volatility

Published:2016-10 Issue: Volume:67 Page:194-214
ISSN:0261-5606
Container-title:Journal of International Money and Finance
language:en
Short-container-title:Journal of International Money and Finance

Author:

Clements A.E.,Hurn A.S.,Volkov V.V.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference44 articles.

1. Testing for jumps in noisy high frequency data;Ait-Sahalia;J. Econom,2012

2. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;J. Finance,1996

3. The distribution of realized exchange rate volatility;Andersen;J. Am. Stat. Assoc,2001

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;Rev. Econom. Stat,2007

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. PORTFOLIO VOLATILITY SPILLOVER;International Journal of Theoretical and Applied Finance;2022-06

2. Nudging against panic selling: Making use of the IKEA effect;Journal of Behavioral and Experimental Finance;2021-06

3. Volatility Transmission across Financial Markets: A Semiparametric Analysis;Journal of Risk and Financial Management;2020-07-24

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