Oxford Index Search Results

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online x Econometric Modelling x clear all


Overview page. Subjects: Computing.

When a computer or a user is directly connected into a network and is capable of interacting with it, for example by querying the contents of a database.

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Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models

Rainer Dahlhaus and Jan C. Neddermeyer.

in Journal of Financial Econometrics

January 2014; p ublished online March 2013 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling. 11734 words.

A technique for online estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate...

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Risk Everywhere: Modeling and Managing Volatility

Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen.

in The Review of Financial Studies

July 2018; p ublished online May 2018 .

Journal Article. Subjects: Single Equation Models; Single Variables; Econometric Modelling; Economics. 20500 words.


Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades,...

Statistical Surveillance of Volatility Forecasting Models

Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid.

in Journal of Financial Econometrics

June 2012; p ublished online December 2011 .

Journal Article. Subjects: Financial Forecasting and Simulation; Single Equation Models; Single Variables; Econometric Modelling. 9721 words.

This paper elaborates sequential procedures for monitoring the validity of a volatility model. A state-space representation describes dynamics of daily integrated volatility. The...

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