J.Q. Smith and Antonio Santos
References
Ait-Sahalia Y. 1998. Dynamic equilibrium and volatility in financial asset markets.
Journal of Econometrics 84: 93-127.
Andersen TG, Bollerslev T, Lange S. 1999. Forecasting financial market volatility:
Sample frequency vis-´a-vis forecast horizon. Journal of Empirical Finance 6:
457-477.
Asbrink SE. 1997. Nonlinearities and Regime shifts in Financial Time Series. Ph.
D. thesis, Stockholm School of Economics.
Bollerslev T, Engle RF, Nelson D. 1994. ARCH models. In Handbook of Econo-
metrics, R. Engle and D. McFadden (eds.), Volume 4. Amsterdam: Elsevier.
Campbell JY, Lo AW, MacKinlay C. 1997. The Econometrics of Financial Mar-
kets. New Jersey: Princeton.
Carpenter J, Clifford P, Fearnhead P. 1998. An improved filter for non-linear
problems. Technical report, Department of Statistics, University of Oxford.
Carpenter J, Clifford P, Fearnhead P. 1999. Building robust simulation-based
filters for evolving data sets. Technical report, Department of Statistics, Uni-
versity of Oxford.
Christoffersen PF, Diebold FX. 1997. How relevant is volatility forecasting for
financial risk management? Technical report, Wharton School, University of
Pennsylvania.
Dawid AP. 1973. Posterior means for large observations. Biometrika 60: 664-666.
Diebold FX, Hickman A, Inoue A, Schuermann T. 1997. Converting 1-day volatil-
ity to h-day volatility: Scaling by his is worse than you think. Technical report,
Wharton School, University of Pennsylvania.
G.E.M.F - F.E.U.C.
20