Pages that link to "Item:Q737278"

The following pages link to Realized volatility forecasting and market microstructure noise (Q737278):

Displaying 33 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• Out of sample forecasts of quadratic variation (Q299250) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
• Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Integrated volatility and round-off error (Q605018) (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
• Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Volatility forecasting and microstructure noise (Q737282) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
• High-frequency asymptotics for path-dependent functionals of Itô semimartingales (Q2258821) (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
• Zero-intelligence realized variance estimation. (Q2430259) (← links)
• Fuzzy risk adjusted performance measures: application to hedge funds (Q2447426) (← links)
• Estimation of flexible fuzzy GARCH models for conditional density estimation (Q2629962) (← links)
• Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211) (← links)
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
• (Q5143373) (← links)
• Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
• Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective (Q6150535) (← links)
• Semi-parametric single-index predictive regression models with cointegrated regressors (Q6193026) (← links)
• Volatility analysis in high-frequency financial data (Q6604425) (← links)