Pages that link to "Item:Q737246"
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The following pages link to Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246):
Displayed 50 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- The VIX, the variance premium and stock market volatility (Q473230) (← 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)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- Time-varying leverage effects (Q527980) (← links)
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Fluctuations of stock price model by statistical physics systems (Q984186) (← links)
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Cojumps and asset allocation in international equity markets (Q1734591) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Testing for jumps and jump intensity path dependence (Q1753059) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Nonparametric estimation of jump diffusion models (Q2024442) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Transaction activity and bitcoin realized volatility (Q2060362) (← links)
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach (Q2076852) (← links)
- Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach (Q2123691) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Financial modelling, risk management of energy instruments and the role of cryptocurrencies (Q2150838) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Information content of liquidity and volatility measures (Q2165679) (← links)
- The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (Q2246755) (← links)
- Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
- A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Stochastic multifactor modeling of spot electricity prices (Q2349615) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853) (← links)
- Bias reduction in spot volatility estimation from options (Q2697974) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? (Q4563388) (← links)