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

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+Out of sample forecasts of quadratic variation
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+Modeling and Forecasting Realized Volatility
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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Realized volatility forecasting and market microstructure noise
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Fourier series method for measurement of multivariate volatilities
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+Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+A Tale of Two Time Scales
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