Can Volatility Models Explain Extreme Events?*
Author:
Affiliation:
1. Scuola Normale Superiore
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/16/2/297/24595172/nbx031.pdf
Reference45 articles.
1. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility;Andersen;The Review of Economics and Statistics,2007
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3. Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models;Barndorff-Nielsen;Journal of the Royal Statistical Society: Series B,2002
4. Regular Variation of GARCH Processes;Basrak;Stochastic Processes and their Applications,2002
5. Generalized Autoregressive Conditional Heteroskedasticity;Bollerslev;Journal of Econometrics,1986
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