The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability-Reference-Cited by-同舟云学术

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The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

Published:2003-01 Issue:1 Volume:13 Page:17-35
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Barucci Emilio,Malliavin Paul,Mancino Maria Elvira,Reno Roberto,Thalmaier Anton

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9965.t01-1-00003/fullpdf

Reference19 articles.

1. T. Andersen, and T. Bollersley(1998 ): Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts ,Inter. Econ. Rev.39 , 885 -905 .

2. E. Barucci, and R. Reno(2002 ): On Measuring Volatility and the GARCH Forecasting Performance ,J. Inter. Financial Mkts., Inst. Money12 , 183 -200 .

3. E. Barucci, and R. Reno(2002 ): On Measuring Volatility of Diffusion Processes with High Frequency Data ,Econ. Lett. 74 , 371 -378 .

4. D. Bates(1995 ): Testing Option Pricing Models . Working paper, NBER no. 5129.

5. G. Bekaert, and G. Wu(2000 ): Asymmetric Volatility and Risk in Equity Markets ,Rev. Financial Stud.13 , 1 -42 .

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