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

  • University of Pennsylvania - Department of Economics

    • Email
    • Tel: (212) 289-8892

  • Bear, Stearns & Co., Inc.

SCHOLARLY PAPERS

3

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1,216

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76

Scholarly Papers (3)

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1.

Range-Based Estimation of Stochastic Volatility Models

Downloads 806 (64,872)
Citation 5

Range-Based Estimation of Stochastic Volatility Models

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 806 (63,856)
Citation 5

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Range-Based Estimation of Stochastic Volatility Models

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 324 (195,211)
Citation 71

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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: 26 Oct 2022
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 86 (610,980)

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