A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.jeconom.2010.03.029 / rank
Normal rank
 
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Distribution of Realized Exchange Rate Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure Noise, Realized Variance, and Optimal Sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5309198 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for multipower variation in the presence of jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Post-'87 crash fears in the S\&P 500 futures option market / rank
 
Normal rank
Property / cites work
 
Property / cites work: A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating stochastic volatility diffusion using conditional moments of integrated volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling security market events in continuous time: intensity based, multivariate point process models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Alternative models for stock price dynamics. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory in continuous-time stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tests of Conditional Predictive Ability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of realized power variations and related functionals of semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility forecast comparison using imperfect volatility proxies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized jumps on financial markets and predicting credit spreads / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.JECONOM.2010.03.029 / rank
 
Normal rank

Latest revision as of 02:32, 10 December 2024

scientific article
Language Label Description Also known as
English
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
scientific article

    Statements

    A reduced form framework for modeling volatility of speculative prices based on realized variation measures (English)
    0 references
    0 references
    0 references
    0 references
    10 August 2016
    0 references
    stochastic volatility
    0 references
    realized variation
    0 references
    bipower variation
    0 references
    jumps
    0 references
    hazard rates
    0 references
    overnight volatility
    0 references
    0 references

    Identifiers