Volatility regressions with fat tails (Q2227065): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Realized power variation and stochastic volatility models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Limit theorems for multipower variation in the presence of jumps
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+Generalized autoregressive conditional heteroscedasticity
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+Time series: theory and methods.
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+A reexamination of stock return predictability
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+Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
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+Maximum and minimum of one-dimensional diffusions
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Temporal Aggregation of Garch Processes
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+Closing the GARCH gap: Continuous time GARCH modeling
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Autoregressive processes with infinite variance
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+ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
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+A simple general approach to inference about the tail of a distribution
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+ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
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+Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
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+GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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+On tail index estimation using dependent data
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+Asymptotic properties of realized power variations and related functionals of semimartingales
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+Estimating functions for diffusion-type processes
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+Quarticity and other functionals of volatility: efficient estimation
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+Asymptotics for recurrent diffusions with application to high frequency regression
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+RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
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+Weak limit theorems for stochastic integrals and stochastic differential equations
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+ARMA representation of integrated and realized variances
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+Temporal aggregation of volatility models
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
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+ARCH models as diffusion approximations
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+Nonlinear instrumental variable estimation of an autoregression.
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+Consistency of Hill's estimator for dependent data
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+Tail index estimation for dependent data
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+Q5445976
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+CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS  TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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+Smoothing Bias in Density Derivative Estimation
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+Donsker theorems for diffusions: necessary and sufficient conditions
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+A Tale of Two Time Scales
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