Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211): Difference between revisions

@@ Property / author @@
+Emilio Basrucci
@@ Property / author: Emilio Basrucci / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680903413589
+Normal rank
@@ Property / OpenAlex ID @@
+W2095229149
@@ Property / OpenAlex ID: W2095229149 / rank @@
+Normal rank
@@ Property / cites work @@
+Out of sample forecasts of quadratic variation
@@ Property / cites work: Out of sample forecasts of quadratic variation / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank