Realized volatility forecasting and market microstructure noise (Q737278): Difference between revisions

@@ Property / cites work @@
+Out of sample forecasts of quadratic variation
@@ Property / cites work: Out of sample forecasts of quadratic variation / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of economic forecasting. Volume 1
@@ Property / cites work: Handbook of economic forecasting. Volume 1 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+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 @@
+Realized volatility forecasting and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Using High-Frequency Data in Dynamic Portfolio Choice
+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 @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Nonlinear principal components and long-run implications of multivariate diffusions
+Normal rank
@@ Property / cites work @@
+Predictive density estimators for daily volatility based on the use of realized measures
+Normal rank
@@ Property / cites work @@
+Predictive Inference for Integrated Volatility
@@ Property / cites work: Predictive Inference for Integrated Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
+Normal rank
@@ Property / cites work @@
+Estimation of objective and risk-neutral distributions based on moments of integrated volatility
+Normal rank
@@ Property / cites work @@
+Predicting volatility: getting the most out of return data sampled at different frequencies
+Normal rank
@@ Property / cites work @@
+Volatility forecasting and microstructure noise
@@ Property / cites work: Volatility forecasting and microstructure noise / rank @@
+Normal rank
@@ Property / cites work @@
+Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
+Normal rank
@@ Property / cites work @@
+Asymptotic error distributions for the Euler method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank