Pages that link to "Item:Q530606"

The following pages link to Data-based ranking of realised volatility estimators (Q530606):

Displaying 16 items.

• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Forecasting financial market volatility using a dynamic topic model (Q1627814) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
• On the elicitability of range value at risk (Q2063037) (← links)
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach (Q2343097) (← links)
• A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
• Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
• Sensitivity measures based on scoring functions (Q6167385) (← links)
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364) (← links)
• Robust inference on correlation under general heterogeneity (Q6199632) (← links)
• A new look at variance estimation based on low, high and closing prices taking into account the drift (Q6552776) (← links)
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
• High-frequency-based volatility model with network structure (Q6641045) (← links)
• Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)
• Reprint of: Robust inference on correlation under general heterogeneity (Q6664646) (← links)