Volatility analysis with realized GARCH-Itô models (Q134810): Difference between revisions

@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Testing for jumps in noisy high frequency data
@@ Property / cites work: Testing for jumps in noisy high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+High frequency market microstructure noise estimates and liquidity measures
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Varying Periodicity in Intraday Volatility
@@ Property / cites work: Time-Varying Periodicity in Intraday Volatility / 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
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Introduction to Time Series and Forecasting
@@ Property / cites work: Introduction to Time Series and Forecasting / rank @@
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+A multiple indicators model for volatility using intra-daily data
+Normal rank
@@ Property / cites work @@
+Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
+Normal rank
@@ Property / cites work @@
+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
+Normal rank
@@ Property / cites work @@
+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
+Normal rank
@@ Property / cites work @@
+Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
+Normal rank
@@ Property / cites work @@
+Econometric analysis of jump-driven stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Nonparametric spot volatility from options
@@ Property / cites work: Nonparametric spot volatility from options / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic nonequivalence of GARCH models and diffusions
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+Estimating covariation: Epps effect, microstructure noise
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank