Volatility forecasting and microstructure noise (Q737282): Difference between revisions

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+Out of sample forecasts of quadratic variation
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+High frequency market microstructure noise estimates and liquidity measures
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+Realized volatility forecasting and market microstructure noise
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+Volatility forecasting and microstructure noise
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+MIDAS Regressions: Further Results and New Directions
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+Q4113288
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+ARCH models as diffusion approximations
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+Moment–Based Estimation of Stochastic Volatility Models
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+A Tale of Two Time Scales
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