On measuring volatility of diffusion processes with high frequency data
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Publication:5958532
DOI10.1016/S0165-1765(01)00572-9zbMath0995.91043OpenAlexW2068092840WikidataQ127719517 ScholiaQ127719517MaRDI QIDQ5958532
Publication date: 3 March 2002
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00572-9
Related Items (15)
Optimal design of Fourier estimator in the presence of microstructure noise ⋮ Consistent ranking of volatility models ⋮ Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis ⋮ Realized Volatility: A Review ⋮ Nonparametric Estimation Methods of Integrated Multivariate Volatilities ⋮ A CLOSER LOOK AT THE EPPS EFFECT ⋮ Aging in financial market ⋮ The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability ⋮ NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH ⋮ Empirical analysis of estimates of realized volatility in financial risk control problems ⋮ A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics ⋮ NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS ⋮ Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise ⋮ Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data ⋮ Is volatility lognormal? Evidence from Italian futures
Cites Work
- An econometric analysis of nonsynchronous trading
- Closing the GARCH gap: Continuous time GARCH modeling
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Fourier series method for measurement of multivariate volatilities
- Temporal aggregation of volatility models
- ARCH models as diffusion approximations
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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