Volatility forecasting and microstructure noise (Q737282): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2010.03.035
@@ Property / DOI: 10.1016/j.jeconom.2010.03.035 / 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 @@
+High frequency market microstructure noise estimates and liquidity measures
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Predicting volatility: getting the most out of return data sampled at different frequencies
+Normal rank
@@ Property / cites work @@
+Volatility forecasting and microstructure noise
@@ Property / cites work: Volatility forecasting and microstructure noise / rank @@
+Normal rank
@@ Property / cites work @@
+MIDAS Regressions: Further Results and New Directions
+Normal rank
@@ Property / cites work @@
+Q4113288
@@ Property / cites work: Q4113288 / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Moment–Based Estimation of Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2010.03.035
@@ Property / DOI: 10.1016/J.JECONOM.2010.03.035 / rank @@
+Normal rank