Towards a unified framework for high and low frequency return volatility modeling

Statistica Neerlandica

Volumn 52, Issue 3, 1998, Pages 273-302

  Andersen, T G ^a   Bollerslev, T ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF VIRGINIA   (United States)

Author keywords

ARCH; High frequency data; Intraday seasonal; Long memory; Stochastic volatility

Indexed keywords

EID: 0032271930     PISSN: 00390402     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9574.00085     Document Type: Article

References (63)

1. AKGIRAY, V. (1989), Conditional heteroskedasticity in time series of stock returns: evidence and forecasts, Journal of Business 62, 55-80.
2. ANDERSEN, T. G. (1996), Return volatility and trading volume: an information flow interpretation of stochastic volatility, Journal of Finance 51, 169-204.
3. ANDERSEN, T. G. and T. BOLLERSLEV (1997a), Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance 4, 115-158.
4. ANDERSEN, T. G. and T. BOLLERSLEV (1997b), Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns, Journal of Finance 52, 975-1005.
5. ANDERSEN, T. G. and T. BOLLERSLEV (1998a), Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer-run dependencies, Journal of Finance 53, 219-265.
6. ANDERSEN, T. G. and T. BOLLERSLEV (1998b), Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review, forthcoming.
7. BAILLIE, R. T. and T. BOLLERSLEV (1991), Intra-day and inter-market volatility in foreign exchange rates, Review of Economic Studies 58, 565-585.
8. BAILLIE, R. T., T. BOLLERSLEV and H. O. MIKKELSEN (1996), Fractionally integrated generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 74, 3-30.
9. BOLLERSLEV,. T. (1986), Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307-327.
10. BOLLERSLEV, T., R. Y. CHOU and K. F. KRONER (1992), ARCH modeling in finance: a review of the theory and empirical evidence, Journal of Econometrics 52, 5-59.
11. BOLLERSLEV, T. and I. DOMOWITZ (1993), Trading patterns and prices in the interbank foreign exchange market, Journal of Finance 48, 1421-1443.
12. BOLLERSLEV, T., R. F. ENGLE and D. B. NELSON (1994), ARCH models, in: R. F. ENGLE and D. MCFADDEN (eds.), Handbook of econometrics, Volume IV Chapter 49, Elsevier Science B.V. Amsterdam.
13. BOLLERSLEV, T. and H. O. MIKKELSEN (1996), Modeling and pricing long-memory in stock market volatility, Journal of Econometrics 73, 151-184.
14. BOLLERSLEV, T. and H. O. MIKKELSEN (1997), Long-term equity anticipation securities and stock market volatility dynamics, Working Paper, Department of Economics, University of Virginia.
15. BOLLERSLEV, T. and J. M. WOOLDRIDGE (1992), Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews 11, 143-172.
16. BOUDOUKH, J., M. RICHARDSON and R. F. WHITELAW (1997), Investigation of a class of volatility estimators, Journal of Derivatives, 63-71.
17. BRAILSFORD, T. J. and R. W. FAFF (1996), An evaluation of volatility forecasting techniques, Journal of Banking and Finance 20, 419-438.
18. CANINA, L. and S. FIGLEWSKI (1993), The informational content of implied volatility, Review of Financial Studies 6, 659-681.
19. CHAMBERS, M. J. (1998), Long memory and aggregation in macroeconomic time series, International Economic Review, forthcoming.
20. CLARK, P. K. (1973), A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41, 135-155.
21. CUMBY, R., S. FIGLEWSKI and J. HASBROUCK (1993), Forecasting volatility and correlations with EGARCH models, Journal of Derivatives, 51-63.
22. DACOROGNA, M. M., U. A. MÜLLER, R. J. NAGLER, R. B. OLSEN and O. V. PICTET (1993), A geographical model for the daily and weekly seasonal volatility in the foreign exchange market, Journal of International Money and Finance 12, 413-438.
23. DAY, T. E. and C. M. LEWIS (1992), Stock market volatility and the information content of stock index options, Journal of Econometrics 52, 267-287.
24. DIMSON, E. and P. MARSH (1990), Volatility forecast without data-snooping, Journal of Banking and Finance 14, 399-421.
25. DING, Z., C. W. J. GRANGER and R. F. ENGLE (1993), A long memory property of stock market returns and a new model, Journal of Empirical Finance 1, 83-106.
26. DROST, F. C. and T. E. NIJMAN (1993), Temporal aggregation of GARCH processes, Econometrica 61, 909-927.
27. DROST, F. C. and B. J. M. WERKER (1996), Closing the GARCH gap: continuous time GARCH modeling, Journal of Econometrics 74, 31-57.
28. ENGLE, R. F. (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.
29. ENGLE, R. F. and T. BOLLERSLEV (1986), Modelling the persistence of conditional variances, Econometric Reviews 5, 1-50.
30. ENGLE, R. F., T. ITO and W.-L. LIN (1990), Meteor showers or heat waves? heteroskedastic intra-daily volatility in the foreign exchange market, Econometrica 58, 525-542.
31. FIGLEWSKI, S. (1997), Forecasting volatility, Financial Markets, Institutions and Instruments 6, 1-88.
32. FOSTER, F. D. and S. VISWANATHAN (1995), Can speculative trading explain the volume-volatility relation? Journal of Business and Economic Statistics 13, 379-396.
33. FRENNBERG, P. and B. HANSSON (1996). An evaluation of alternative models for predicting stock volatility: evidence from a small stock market, Journal of International Financial Markets, Institutions and Money 5, 117-134.
34. GALLANT, A. R. (1981), On the bias in flexible functional forms and an essentially unbiased form: the Fourier flexible form, Journal of Econometrics 15, 211-245.
35. GEWEKE, J. and S. PORTER-HUDAK (1983), The estimation and application of long-memory time series models, Journal of Time Series Analysis 4, 221-238.
36. GHYSELS, E., A. HARVEY and E. RENAULT (1996), Stochastic volatility, in: G. S. MADDALA (ed.), Handbook of Statistics, Volume 14: Statistical Methods in Finance, North Holland, Amsterdam.
37. GOODHART, C. A. E., S. HALL, S. HENRY and B. PESARAN (1993), News effects in a high frequency model of the sterling-dollar exchange rate, Journal of Applied Econometrics 8, 1-13.
38. HAMAO, Y., R. W. MASULIS and V. NG (1990), Correlations in price changes and volatility across international stock markets, Review of Financial Studies 3, 281-307.
39. HARRIS, L. (1986), A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics 16, 99-117.
40. HARRIS, L. (1987), Transaction data tests of the mixture of distributions hypothesis, Journal of Financial and Quantitative Analysis 22, 127-141.
41. HARVEY, A. C. (1994), Long-memory in stochastic volatility, Working Paper, London School of Economics.
42. HEYNEN, R. C. and H. M. KAT (1994), Volatility prediction: a comparison of the stochastic volatility, GARCH(1,1), and EGARCH(1,1) models, Journal of Derivatives, 50-65.
43. HULL, J. and A. WHITE (1987), The pricing of options on assets with stochastic volatilities, Journal of Finance 42, 381-400.
44. JORION, P. (1995), Predicting volatility in the foreign exchange market, Journal of Finance 50, 507-528.
45. JORION, P. (1996), Risk and turnover in the foreign exchange market, in: J. A. FRANKEL, G. GALLI and A. GIOVANNINI (eds.), The Microstructure of Foreign Exchange Markets, The University of Chicago Press, Chicago.
46. KARATZAS, I. and S. E. SHREVE (1988), Brownian motion and stochastic calculus, Springer Verlag, New York.
47. LOCKE, P. R. and C. L. SAVERS (1993), Intra-day futures price volatility: information effects and variance persistence, Journal of Applied Econometrics 8, 15-30.
48. MELINO, A. (1994), The estimation of continuous-time models in finance, in: C. A. SIMS (ed.), Advances in econometrics, Sixth World Congress Volume II, Cambridge University Press, Cambridge, United Kingdom.
49. MÜLLER, U. A., M. M. DACOROGNA, R. B. OLSEN, O. V. PICTET, M. SCHWARZ and C. MORGENEGG (1990), Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis, Journal of Banking of Finance 14, 1189-1208.
50. NELSON, D. B. (1990), ARCH models as diffusion approximations, Journal of Econometrics 45, 7-38.
51. NELSON, D. B. (1992), Filtering and forecasting with misspecified ARCH models I: getting the right variance with the wrong model, Journal of Econometrics 52, 61-90.
52. PAGAN, A. R. and G. W. SCHWERT (1990), Alternative models for conditional stock volatility, Journal of Econometrics 45, 267-290.
53. ROBINSON, P. M. (1994), Semiparametric analysis of long-memory time series, Annals of Statistics 22, 515-539.
54. ROSS, S. A. (1989), Information and volatility: the no-arbitrate martingale approach to timing and resolution irrelevancy, Journal of Finance 44, 1-18.
55. SCHWERT, G. W. (1989), Why does stock market volatility change over time? Journal of Finance 44, 1115-1153.
56. SCHWERT, G. W. (1990), Stock volatility and the crash of '87, Review of Financial Studies 3, 77-102.
57. SCHWERT, G. W. and P. J. SEGUIN (1990), Heteroskedasticity in stock returns, Journal of Finance 45, 1129-1155.
58. SCOTT, L. (1987), Option pricing when the variance changes randomly: theory, estimation, and an application, Journal of Financial and Quantitative Analysis 22, 419-436.
59. SHEPHARD, N. (1996), Statistical aspects of ARCH and stochastic volatility, in: D. R. COX, D. V. HINKLEY and O. E. BARNDORFF-NIELSEN (eds), Likelihood, time series with econometric and other applications, Chapman and Hall, London.
60. TAUCHEN, G. E. and M. PITTS (1983), The price variability-volume relationship on speculative markets, Econometrica 51, 485-505.
61. WEST, K. D. and D. CHO (1995), The predictive ability of several models of exchange rate volatility, Journal of Econometrics 69, 367-391.
62. WIGGINS, M. (1987), Option values under stochastic volatility: theory and empirical estimates, Journal of Financial Economics 19, 351-372.
63. WOOD, R. A., T. H. MCINISH and J. K. ORD (1985), An investigation of transaction data for NYSE stocks, Journal of Finance 25, 723-739.