High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X.

doi:10.3386/w8162

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Analysis Of Evolving Hazard Overflows Using Tvp-var1

Liquidity Determinants1

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2002

2023

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Cited by 8 publications

(4 citation statements)

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“…Alizadeh et al (2002);Andersen et al (2002);Bakshi et al (1997);Bates (2000);Chernov and Ghysels (2000);Chernov et al (2003);Duffie et al (2000);Eraker (2004);Eraker et al (2003);Heston (1993);Jones (2003);Pan (2002);Broadie et al (2007), among other influential contributions.…”

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confidence: 98%

Price and volatility co-jumps

Bandi

Renò

2016

Journal of Financial Economics

143

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mentioning

confidence: 98%

Price and volatility co-jumps

Bandi

Renò

2016

Journal of Financial Economics

143

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“…The advantage of the high-low based volatility measure is discussed byAlizadeh et al (2001). As a robustness check, we also use volatility estimates from the asymmetric GARCH model proposed byGlosten et al (1993).…”

mentioning

confidence: 99%

Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Wang

2007

Journal of Development Economics

109

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“…Multiplying by 100 is performed to express the volatility as a percentage. Representing volatility as a percentage allows for a more intuitive understanding and comparison of the volatility of different institutions [22].…”

Section: Analysis Of Evolving Hazard Overflows Using Tvp-varmentioning

confidence: 99%

Analysis of Evolving Hazard Overflows and Construction of an Alert System in the Chinese Finance Industry Using Statistical Learning Methods

2023

Mathematics

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With the global economic situation still uncertain and various businesses interconnected within the finance system, financial hazards exhibit characteristics such as rapid propagation and wide scope. Therefore, it is of great significance to analyze evolving changes and patterns of hazard overflow in the finance industry and construct a financial hazard alert system. We adopt the time-varying parameter vector auto-regressive model to examine the degree and evolving characteristics of financial hazard alerts from an industry perspective and construct financial hazard measurement indicators. To effectively prevent financial hazards and consider the non-linear causal relationship between financial hazards and macroeconomic variables, we utilize the long/short-term memory network model, which can capture temporal features, to construct a financial hazard alert system. Furthermore, we explore whether the inclusion of an online sentiment indicator can enhance the accuracy of financial hazard alerts, aiming to provide policy recommendations on strengthening financial market stability and establishing a hazard alert mechanism under macro-prudential supervision.

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High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

Cited by 8 publications

References 0 publications

Price and volatility co-jumps

Price and volatility co-jumps

Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Analysis of Evolving Hazard Overflows and Construction of an Alert System in the Chinese Finance Industry Using Statistical Learning Methods

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