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1112131
Andersen, Torben; Tim Bollerslev; Francis Diebold and Jin Wu,
(2004),
Realized Beta: Persistence and Predictability, PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Bandi, Federico M. and Jeffrey R. Russell,
(2006),
Separating microstructure noise from volatility, Journal of Financial Economics, 79, (3), 655-692
Barndorff-Nielsen, Ole; Peter Hansen; Asger Lunde and Neil Shephard,
(2004),
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise, No 2004-W28, Economics Papers, Economics Group, Nuffield College, University of Oxford
Barndorff-Nielsen, Ole; Peter Hansen; Asger Lunde and Neil Shephard,
(2006),
Subsampling realised kernels, No 2006-W10, Economics Papers, Economics Group, Nuffield College, University of Oxford
Barndorff-Nielsen, Ole; Peter Hansen; Asger Lunde and Neil Shephard,
(2006),
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, No 2006-W03, Economics Papers, Economics Group, Nuffield College, University of Oxford
Barndorff-Nielsen, Ole; Sven Erik Graversen; Jean Jacod and Neil Shephard,
(2005),
Limit theorems for bipower variation in financial econometrics, No 2005-W06, Economics Papers, Economics Group, Nuffield College, University of Oxford
Chaboud, Alain P.; Benjamin Chiquoine; Erik Hjalmarsson and Mico Loretan,
(2007),
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, No 905, International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
Corradi, Valentina; Norman Swanson and Walter Distaso,
(2006),
Predictive Inference for Integrated Volatility, Departmental Working Papers, Rutgers University, Department of Economics
Corradi, Valentina; Norman Swanson and Walter Distaso,
(2006),
Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures, Departmental Working Papers, Rutgers University, Department of Economics
de Vilder, Robin G. and Marcel Visser,
(2007),
Volatility Proxies for Discrete Time Models, MPRA Paper, University Library of Munich, Germany
Diaconaşu, Delia,
(2015),
CENTRAL AND EASTERN EUROPEAN STOCK MARKETS IN TIMES OF CRISIS (International Conference "Recent Advances in Economic and Social Research", 13-14 mai 2015, București), Institute for Economic Forecasting Conference Proceedings, Institute for Economic Forecasting
El Ouadghiri, Imane and Remzi Uctum,
(2015),
Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets, No 2015-14, EconomiX Working Papers, University of Paris Nanterre, EconomiX
Ghysels, Eric; Pedro Santa-Clara and Rossen Valkanov,
(2004),
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies, No 10914, NBER Working Papers, National Bureau of Economic Research, Inc
Ghysels, Eric; Pedro Santa-Clara and Rossen Valkanov,
(2004),
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies, CIRANO Working Papers, CIRANO
Ghysels, Eric; Pedro Santa-Clara and Rossen Valkanov,
(2006),
Predicting volatility: getting the most out of return data sampled at different frequencies, Journal of Econometrics, 131, (1-2), 59-95
Halbleib, Roxana and Timo Dimitriadis,
(2019),
How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice, VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association
Herwartz, Helmut and Vasyl Golosnoy,
(2007),
Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance, No 2007-23, Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics
Large, Jeremy,
(2005),
Estimating quadratic variation when quoted prices jump by a constant increment, No 2005-W05, Economics Papers, Economics Group, Nuffield College, University of Oxford
Large, Jeremy,
(2007),
Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment, No 340, Economics Series Working Papers, University of Oxford, Department of Economics
Li, Yingying; Zhiyuan Zhang and Xinghua Zheng,
(2013),
Volatility inference in the presence of both endogenous time and microstructure noise, Stochastic Processes and their Applications, 123, (7), 2696-2727
Liu, Chun and John Maheu,
(2007),
Are there Structural Breaks in Realized Volatility?, Working Papers, University of Toronto, Department of Economics
Martin, Gael; Andrew Reidy and Jill Wright,
(2006),
Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility, No 10/06, Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
Nielsen, Morten and Per Houmann Frederiksen,
(2005),
Finite Sample Accuracy Of Integrated Volatility Estimators, No 1225, Working Paper, Economics Department, Queen's University
Padmakumari, Lakshmi and S. Maheswaran,
(2018),
Covariance estimation using random permutations, International Journal of Financial Engineering (IJFE), 05, (01), 1-21
Pelinescu, Elena and Delia-Elena Diacona?u,
(2015),
The Volatility of Romanian Exchange Rate: A GARCH Approach, Review of Economics & Finance, 5, 92-99
Podolskij, Mark and Daniel Ziggel,
(2007),
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models, CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Podolskij, Mark and Daniel Ziggel,
(2008),
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models, CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Podolskij, Mark and Daniel Ziggel,
(2008),
New tests for jumps: a threshold-based approach, CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Podolskij, Mark and Mathias Vetter,
(2007),
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps, CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Shephard, Neil,
(2005),
Stochastic Volatility, No 2005-W17, Economics Papers, Economics Group, Nuffield College, University of Oxford
Shephard, Neil; Ole Barndorff-Nielsen and Asger Lunde,
(2006),
Subsampling realised kernels, No 278, Economics Series Working Papers, University of Oxford, Department of Economics
Veiga, Helena,
(2006),
Volatility forecasts: a continuous time model versus discrete time models, DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica
Zhang, Lan; Per A. Mykland and Yacine Ait-Sahalia,
(2005),
Edgeworth Expansions for Realized Volatility and Related Estimators, No 319, NBER Technical Working Papers, National Bureau of Economic Research, Inc
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