Realized Volatility: A Review (Q3539862)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Realized Volatility: A Review	scientific article

Statements

scholarly article

0 references

Realized Volatility: A Review (English)

0 references

Michael McAleer

0 references

Marcelo C. Medeiros

0 references

Econometric Reviews

0 references

publication date

19 November 2008

0 references

zbMATH Keywords

continuous time processes

0 references

finance

0 references

financial econometrics

0 references

forecasting

0 references

high frequency data

0 references

quadratic variation

0 references

realized volatility

0 references

risk

0 references

trading rules

0 references

describes a project that uses

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/07474930701853509

0 references

The Distribution of Realized Exchange Rate Volatility

0 references

Modeling and Forecasting Realized Volatility

0 references

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

0 references

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

0 references

Multivariate Stochastic Volatility: A Review

0 references

Microstructure Noise, Realized Variance, and Optimal Sampling

0 references

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

0 references

Using High-Frequency Data in Dynamic Portfolio Choice

0 references

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

0 references

Power Variation and Time Change

0 references

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

0 references

Subsampling realised kernels

0 references

LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

0 references

On measuring volatility of diffusion processes with high frequency data

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

0 references

Predictive Inference for Integrated Volatility

0 references

The Volatility of Realized Volatility

0 references

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

0 references

Long memory and regime switching

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Volatility forecasting and microstructure noise

0 references

Edgeworth Corrections for Realized Volatility

0 references

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

0 references

Autoregressive conditional heteroskedasticity and changes in regime

0 references

Moving Average-Based Estimators of Integrated Variance

0 references

Consistent ranking of volatility models

0 references

On covariance estimation of non-synchronously observed diffusion processes

0 references

Neglecting parameter changes in GARCH models

0 references

Nonparametric Estimation Methods of Integrated Multivariate Volatilities

0 references

Asymptotic error distributions for the Euler method for stochastic differential equations

0 references

Estimating quadratic variation when quoted prices change by a constant increment

0 references

Refined Inference on Long Memory in Realized Volatility

0 references

An econometric analysis of nonsynchronous trading

0 references

Fourier series method for measurement of multivariate volatilities

0 references

AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

0 references

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

0 references

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

0 references

Econometric Issues in the Analysis of Regressions with Generated Regressors

0 references

Two Stage and Related Estimators and Their Applications

0 references

Volatility forecast comparison using imperfect volatility proxies

0 references

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

0 references

Limit distributions for the error in approximations of stochastic integrals

0 references

0 references

Measuring volatility with the realized range

0 references

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

0 references

Estimating covariation: Epps effect, microstructure noise

0 references

A Tale of Two Time Scales

0 references

Identifiers

zbMATH Open document ID

0 references

10.1080/07474930701853509

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:3539862

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q3539862&oldid=35081091"