Sassan Alizadeh

University of Pennsylvania - Department of Economics

Ronald O. Perelman Center for Political Science

133 South 36th Street

Philadelphia, PA 19104-6297

United States

Bear, Stearns & Co., Inc.

245 Park Avenue

New York, NY 10167

United States

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

Range-Based Estimation of Stochastic Volatility Models

PIER Working Paper No. 01-007
Number of pages: 65 Posted: 02 May 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 646 (41,642)
Citation 4

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Range-Based Estimation of Stochastic Volatility Models

Journal of Finance, Vol. 57, pp. 1047-1091, 2002
Posted: 04 Sep 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

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2.

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think

Wharton FIC Working Paper No. 00-28
Number of pages: 50 Posted: 20 Nov 2000
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 274 (117,246)
Citation 46

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3.

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

NBER Working Paper No. w8162
Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 05 Oct 2001
Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics
Downloads 61 (371,766)

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