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Econometrics Paper
Empirical likelihood for high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
February 2017
Paper No' EM591:
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JEL Classification: C12; C14; C58


Tags: high frequency data; volatility; empirical likelihood

Econometrics Paper
Nonparametric likelihood for volatility under high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
January 2015
Paper No' EM/2015/581:
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JEL Classification: C14


Tags: nonparametric likelihood; volatility; high frequency data

Econometrics Paper
Inference about Realized Volatility using Infill Subsampling Ilze Kalnina and Oliver Linton
September 2007
Paper No' EM/2007/523:
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JEL Classification: C12


Tags: realised volatility; semimartingale; subsampling; infill asymptotic scheme

Econometrics Paper
Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22


Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Econometrics Paper
Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error Ilze Kalnina and Oliver Linton
October 2006
Paper No' EM/2006/509:
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JEL Classification: C12


Tags: endogenous noise; market microstructure; realised volatility; semimartingale

Econometrics Paper
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory Afonso Gonçalves da Silva and Peter M Robinson April 2006
Paper No' EM/2006/501:
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JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

Econometrics Paper
Modelling Memory of Economic and Financial Time Series Peter M Robinson
March 2005
Paper No' EM/2005/487:
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JEL Classification: C22


Tags: long memory; short memory; stochastic volatility

Econometrics Paper
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices Paolo Zaffaroni
May 1997
Paper No' EM/1997/329:
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Tags: stochastic volatility; long memory; asymptotics.

Econometrics Paper
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/320:
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Tags: long memory; two-shock model; stochastic volatility

Econometrics Paper
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) Andrew C Harvey and Mariane Streibel March 1996
Paper No' EM/1996/306:
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Tags: exchange rates; garch model; locally best invariant test; serial correlation; stochastic volatility; unobserved components; von mises distribution.

Econometrics Paper
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models Esther Ruiz
 1992
Paper No' EM/1992/244:
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Tags: stochastic variance models; volatility; asymptotic and finite sample properties; qml estimator; generalized method of moments; autoregression.