Pages that link to "Item:Q4670770"
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The following pages link to Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770):
Displaying 50 items.
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Measuring volatility with the realized range (Q277164) (← links)
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- Long-run risk-return trade-offs (Q291124) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Realized volatility forecasting and option pricing (Q299252) (← links)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Robust inference of risks of large portfolios (Q308377) (← links)
- Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model (Q340756) (← links)
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- Rate-optimal tests for jumps in diffusion processes (Q379937) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
- Recent results in the theory and applications of CARMA processes (Q457274) (← links)
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series (Q465611) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Time-varying jump tails (Q473227) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Bias in the estimation of the mean reversion parameter in continuous time models (Q527981) (← links)
