Testing for One-Factor Models versus Stochastic Volatility Models

Financial
Econometrics
Research Centre

List of other working papers:

2004

1. Xiaohong Chen, Yanqin Fan and Andrew Patton, Simple Tests for Models of Dependence
Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and
Exchange Rates, WP04-19

2. Valentina Corradi and Walter Distaso, Testing for One-Factor Models versus Stochastic
Volatility Models, WP04-18

3. Valentina Corradi and Walter Distaso, Estimating and Testing Sochastic Volatility Models
using Realized Measures, WP04-17

4. Valentina Corradi and Norman Swanson, Predictive Density Accuracy Tests, WP04-16

5. Roel Oomen, Properties of Bias Corrected Realized Variance Under Alternative Sampling
Schemes, WP04-15

6. Roel Oomen, Properties of Realized Variance for a Pure Jump Process: Calendar Time
Sampling versus Business Time Sampling, WP04-14

7. Richard Clarida, Lucio Sarno, Mark Taylor and Giorgio Valente, The Role of Asymmetries and
Regime Shifts in the Term Structure of Interest Rates, WP04-13

8. Lucio Sarno, Daniel Thornton and Giorgio Valente, Federal Funds Rate Prediction, WP04-12

9. Lucio Sarno and Giorgio Valente, Modeling and Forecasting Stock Returns: Exploiting the
Futures Market, Regime Shifts and International Spillovers, WP04-11

10. Lucio Sarno and Giorgio Valente, Empirical Exchange Rate Models and Currency Risk: Some
Evidence from Density Forecasts, WP04-10

11. Ilias Tsiakas, Periodic Stochastic Volatility and Fat Tails, WP04-09

12. Ilias Tsiakas, Is Seasonal Heteroscedasticity Real? An International Perspective, WP04-08

13. Damin Challet, Andrea De Martino, Matteo Marsili and Isaac Castillo, Minority games with
finite score memory, WP04-07

14. Basel Awartani, Valentina Corradi and Walter Distaso, Testing and Modelling Market
Microstructure Effects with an Application to the Dow Jones Industrial Average, WP04-06

15. Andrew Patton and Allan Timmermann, Properties of Optimal Forecasts under Asymmetric
Loss and Nonlinearity, WP04-05

16. Andrew Patton, Modelling Asymmetric Exchange Rate Dependence, WP04-04

17. Alessio Sancetta, Decoupling and Convergence to Independence with Applications to
Functional Limit Theorems, WP04-03

18. Alessio Sancetta, Copula Based Monte Carlo Integration in Financial Problems, WP04-02

19. Abhay Abhayankar, Lucio Sarno and Giorgio Valente, Exchange Rates and Fundamentals:
Evidence on the Economic Value of Predictability, WP04-01

2002

1. Paolo Zaffaroni, Gaussian inference on Certain Long-Range Dependent Volatility Models,
WP02-12

2. Paolo Zaffaroni, Aggregation and Memory of Models of Changing Volatility, WP02-11

3. Jerry Coakley, Ana-Maria Fuertes and Andrew Wood, Reinterpreting the Real Exchange Rate
- Yield Diffential Nexus, WP02-10

4. Gordon Gemmill and Dylan Thomas , Noise Training, Costly Arbitrage and Asset Prices:
evidence from closed-end funds, WP02-09

5. Gordon Gemmill, Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds, WP02-
08

6. George Christodoulakis and Steve Satchell, On th Evolution of Global Style Factors in the
MSCI Universe of Assets, WP02-07

7. George Christodoulakis, Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro
Integration Approach, WP02-06

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