Predictive density estimators for daily volatility based on the use of realized measures (Q302179): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Out of sample forecasts of quadratic variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ultra high frequency volatility estimation with dependent microstructure noise / 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: Modeling and Forecasting Realized 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: Realized volatility forecasting and market microstructure noise / 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: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Power Variation and Time Change / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5493536 / 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: Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions / 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: Nonparametric statistics for stochastic processes. Estimation and prediction. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3125064 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility forecasting and microstructure noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4039796 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARMA representation of integrated and realized variances / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth optimum kernel estimators near endpoints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization and simulation of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4863755 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4727203 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank

Revision as of 07:05, 12 July 2024

scientific article
Language Label Description Also known as
English
Predictive density estimators for daily volatility based on the use of realized measures
scientific article

    Statements

    Predictive density estimators for daily volatility based on the use of realized measures (English)
    0 references
    0 references
    0 references
    0 references
    4 July 2016
    0 references
    diffusions
    0 references
    integrated volatility
    0 references
    realized volatility measures
    0 references
    kernels
    0 references
    microstructure noise
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers