Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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Cites work
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Cited in
(only showing first 100 items - show all)- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
- High frequency market microstructure noise estimates and liquidity measures
- Asymptotic analysis of hedging errors in models with jumps
- Multivariate modelling of long memory processes with common components
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Sequential calibration of options
- Volatility analysis with realized GARCH-Itô models
- Long memory behavior of returns after intraday financial jumps
- Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
- Forecasting realized volatility: a review
- Nonparametric kernel density estimation near the boundary
- Efficient importance sampling in mixture frameworks
- Realized stochastic volatility with leverage and long memory
- Extended stochastic volatility models incorporating realised measures
- Optimal design of Fourier estimator in the presence of microstructure noise
- Forecasting financial market volatility using a dynamic topic model
- The effect of infrequent trading on detecting price jumps
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Common price and volatility jumps in noisy high-frequency data
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- The split-SV model
- On estimating market microstructure noise variance
- Filtering for partially observed diffusion and its applications
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Sensor placement for optimal estimation of vector-valued diffusion processes
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
- Large-dimensional factor modeling based on high-frequency observations
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Random coefficient continuous systems: testing for extreme sample path behavior
- Estimating the integrated volatility using high-frequency data with zero durations
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- A multivariate conditional autoregressive range model
- Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
- Asymptotic and exact pricing of options on variance
- Forecasting intraday volatility and value-at-risk with high-frequency data
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
- Edgeworth corrections for spot volatility estimator
- Incorporating realized quarticity into a realized stochastic volatility model
- Estimation for high-frequency data under parametric market microstructure noise
- Consistent inference for predictive regressions in persistent economic systems
- The long memory HEAVY process: modeling and forecasting financial volatility
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- High frequency-based quantile forecast and combination: an application to oil market
- A CLT for second difference estimators with an application to volatility and intensity
- From zero to hero: realized partial (co)variances
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Large deviation principles of realized Laplace transform of volatility
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
- Sparse vector heterogeneous autoregressive modeling for realized volatility
- Adaptive realized hyperbolic GARCH process: stability and estimation
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Long versus short time scales: the rough dilemma and beyond
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- From rough to multifractal volatility: the log S-fBm model
- A growth-fragmentation model related to Ornstein-Uhlenbeck type processes
- The contribution of intraday jumps to forecasting the density of returns
- Feedback optimal controllers for the Heston model
- Volatility estimation and jump detection for drift-diffusion processes
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Volatility regressions with fat tails
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Superposition of COGARCH processes
- Estimation of the stochastic leverage effect using the Fourier transform method
- Estimating stochastic volatility: the rough side to equity returns
- Asymptotic results for the Fourier estimator of the integrated quarticity
- Portfolio theory for squared returns correlated across time
- Nonparametric spot volatility from options
- High-dimensional multivariate realized volatility estimation
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Statistical inference using higher-order information
- Vast volatility matrix estimation for high-frequency financial data
- Comment: A selective overview of nonparametric methods in financial econometrics
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Realized stochastic volatility with general asymmetry and long memory
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Estimation of the realized (co-)volatility vector: large deviations approach
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Central limit theorem for the realized volatility based on tick time sampling
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