Modelling and forecasting noisy realized volatility (Q429642): Difference between revisions

@@ Property / author @@
-Marcelo C. Medeiros
@@ Property / author: Marcelo C. Medeiros / rank @@
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@@ Property / author @@
+Marcelo C. Medeiros
@@ Property / author: Marcelo C. Medeiros / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6048228
@@ Property / zbMATH DE Number: 6048228 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+diffusion
@@ Property / zbMATH Keywords: diffusion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+financial econometrics
@@ Property / zbMATH Keywords: financial econometrics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+measurement errors
@@ Property / zbMATH Keywords: measurement errors / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+forecasting
@@ Property / zbMATH Keywords: forecasting / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+model evaluation
@@ Property / zbMATH Keywords: model evaluation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+goodness-of-fit
@@ Property / zbMATH Keywords: goodness-of-fit / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2011.06.024
+Normal rank
@@ Property / OpenAlex ID @@
+W3125037581
@@ Property / OpenAlex ID: W3125037581 / 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 @@
+Multivariate Stochastic Volatility: A Review
@@ Property / cites work: Multivariate Stochastic Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Q5423895
@@ Property / cites work: Q5423895 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Generalized autoregressive conditional heteroscedasticity
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+The detection and estimation of long memory in stochastic volatility
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+Alternative models for stock price dynamics.
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+Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Statistical methods in finance
@@ Property / cites work: Statistical methods in finance / rank @@
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@@ Property / cites work @@
+Moving Average-Based Estimators of Integrated Variance
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+Non-Gaussian State-Space Modeling of Nonstationary Time Series
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+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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@@ Property / cites work @@
+Miscellanea. Time series with additive noise
@@ Property / cites work: Miscellanea. Time series with additive noise / rank @@
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+A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME  SERIES MODELS
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+Q5445942
@@ Property / cites work: Q5445942 / rank @@
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:429642