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- Garland B Durham, A Ronald Gallant, Evan Anderson, Tim Bollerslev, Michael Brandt, Ai-Ru Cheng +5 others
- 2001

Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is… (More)

- Andrew Ang, Robert J Hodrick, Yuhang Xing, Xiaoyan Zhang, Joe Chen, Mike Chernov +15 others
- 2004

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility model have abysmally low average returns. This phenomenon cannot be explained by exposure to… (More)

- Torben G Andersen, Tim Bollerslev, Francis X Diebold, Paul Labys
- 2000

Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which… (More)

- Garland B Durham, Evan Anderson, Tim Bollerslev, Frank Diebold, John Geweke, Eric Ghysels +3 others
- 2003

An extensive collection of continuous-time models of the short-term interest rate are evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (1999), provides new insights regarding several previously unresolved questions. For single factor… (More)

- Tim Bollerslev, Viktor Todorov, Yacine A¨ıt-Sahalia, Torben G Andersen, Robert Barro, Oleg Bondarenko +5 others
- 2011

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in the S&P 500 market index. The probability of rare events vary significantly over time, increasing in periods of high market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our… (More)

- Torben Andersen, Tim Bollerslev, Ron Gallant, Jean Jacod, Nour Meddahi, Andrew Patton +2 others
- 2011

We introduce and derive the asymptotic behavior of a new measure constructed from high-frequency data which we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform function of the latent stochastic volatility process over a given interval of time and is robust to presence of… (More)

- Eric Ghysels, Pedro Santa-Clara, Rossen Valkanov, Torben Andersen, Tim Bollerslev, Mike Chernov +7 others
- 2003

We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in the length of the past history included in the forecasts. The… (More)

- Eric Ghysels, Pedro Santa-Clara, Rossen Valkanov, Ucla, Tim Bollerslev, Mike Chernov +5 others
- 2002

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some higher sampling frequencies. We examine the asymptotic properties of MIDAS regression… (More)

- Torben G Andersen, Tim Bollerslev, Peter F Christoffersen, Francis X Diebold, Paul F, Warren S Miller
- 2011

Current practice largely follows restrictive approaches to market risk measurement , such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level… (More)