Modeling and Forecasting Realized Volatility

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Cited in

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The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
Medium-term horizon volatility forecasting: A comparative study
Mitigating the choice of the duration in DDMS models through a parametric link
The asymptotics of the integrated self-weighted cross volatility estimator
Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
On the use of non-linear transformations in stochastic volatility models
Nonparametric range-based double smoothing spot volatility estimation for diffusion models
Causality and forecasting in temporally aggregated multivariate GARCH processes
A Gaussian calculus for inference from high frequency data
Combining statistical intervals and market prices: the worst case state price distribution
Modelling squared returns using a SETAR model with long-memory dynamics
A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
Realized probability
Econometric software development: past, present and future
What does financial volatility tell us about macroeconomic fluctuations?
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Realized Volatility: A Review
Refined Inference on Long Memory in Realized Volatility
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Using High-Frequency Data in Dynamic Portfolio Choice
Integration of CARMA processes and spot volatility modelling
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
On estimating market microstructure noise variance
The influence of intraday seasonality on volatility transmission pattern
Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Quantile forecasts for financial volatilities based on parametric and asymmetric models
Detecting structural breaks in realized volatility
Estimating the persistence and the autocorrelation function of a time series that is measured with error
Testing normality: a GMM approach
Long Memory Factor Model: On Estimation of Factor Memories
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
A conditional extreme value volatility estimator based on high-frequency returns
Functional modelling of volatility in the Swedish limit order book
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
From zero to hero: realized partial (co)variances
Realized volatility of index constituent stocks in Hong Kong
Does information help intra-day volatility forecasts?
Volatility estimation based on high-frequency data
Exploiting the errors: a simple approach for improved volatility forecasting
Hierarchical modeling of irregularly spaced financial returns
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
Estimation of fractional integration in the presence of data noise
Measuring and Modeling Risk Using High-Frequency Data
The Volatility of Realized Volatility
A generalized heterogeneous autoregressive model using market information
Conditional quantile analysis for realized GARCH models
Are tightened trading rules always bad? Evidence from the Chinese index futures market
Nonstationarity-extended Whittle estimation with discontinuity: a correction
Volatility analysis with realized GARCH-Itô models
Overnight GARCH-Itô Volatility Models
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Forecasting realised volatility using ARFIMA and HAR models
Efficient estimation of integrated volatility functionals via multiscale jackknife
Statistical inference for unified Garch-Itô models with high-frequency financial data
Implications of parameter uncertainty on option prices
Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Mind your language: market responses to central bank speeches
Multiplicative factor model for volatility
Targeting market neutrality
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Stock volatility predictability in bull and bear markets
Volatility forecast comparison using imperfect volatility proxies
Observations concerning the estimation of Heston's stochastic volatility model using HF data
Efficient and positive semidefinite pre-averaging realized covariance estimator
Capturing the spillover effect with multiplicative error models
Modeling daily realized futures volatility with singular spectrum analysis
On a spiked model for large volatility matrix estimation from noisy high-frequency data
Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
Maximum likelihood estimation of stationary multivariate ARFIMA processes
Using information quality for volatility model combinations
Long memory in integrated and realized variance
Institutional investors and the dependence structure of asset returns
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
Nonparametric estimation of stochastic volatility models
ARMA representation of integrated and realized variances
A multivariate volatility vine copula model
Assessment and propagation of input uncertainty in tree-based option pricing models
Score-driven models for realized volatility
Robust pair-copula based forecasts of realized volatility
Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
Realized Volatility
Nonparametric density estimation for positive time series
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Runs tests for assessing volatility forecastability in financial time series
Testing for jumps in a discretely observed process
Generic Conditions for Forecast Dominance
The risk return relationship: evidence from index returns and realised variances
Measuring volatility with the realized range
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
Inference theory for volatility functional dependencies
Assessing volatility persistence in fractional Heston models with self-exciting jumps
Market heterogeneities and the causal structure of volatility
Long-run risk-return trade-offs
Consistent ranking of volatility models

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