Modeling and Forecasting Realized Volatility
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Cited in
(only showing first 100 items - show all)- Testing for jumps in a discretely observed process
- Estimation of fractional integration in the presence of data noise
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Intra-daily information of range-based volatility for MEM-GARCH
- Volatility analysis with realized GARCH-Itô models
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Empirical option pricing: A retrospection
- 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)
- Quantum spatial-periodic harmonic model for daily price-limited stock markets
- The effect of additive outliers on a fractional unit root test
- Forecasting realized volatility: a review
- When long memory meets the Kalman filter: a comparative study
- Realized stochastic volatility with leverage and long memory
- Extended stochastic volatility models incorporating realised measures
- What does financial volatility tell us about macroeconomic fluctuations?
- Forecast dominance testing via sign randomization
- The effect of infrequent trading on detecting price jumps
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- 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
- Managing risk with a realized copula parameter
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Horizon effect in the term structure of long-run risk-return trade-offs
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- On estimating market microstructure noise variance
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Real-time monitoring test for realized volatility
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Asymptotic inference about predictive accuracy using high frequency data
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- Detecting structural breaks in realized volatility
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Financial econometrics: Past developments and future challenges
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Modelling squared returns using a SETAR model with long-memory dynamics
- A multivariate conditional autoregressive range model
- Nonparametric estimation of stochastic volatility models
- Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
- Implications of parameter uncertainty on option prices
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Incorporating realized quarticity into a realized stochastic volatility model
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
- Consistent inference for predictive regressions in persistent economic systems
- Managing liquidity with portfolio staleness
- Volatility coupling
- Transaction activity and bitcoin realized volatility
- Realized cumulants for martingales
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- The long memory HEAVY process: modeling and forecasting financial volatility
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Time-delayed stochastic volatility model
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- High frequency-based quantile forecast and combination: an application to oil market
- Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market
- From zero to hero: realized partial (co)variances
- Testing for parameter instability and structural change in persistent predictive regressions
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach
- Sparse vector heterogeneous autoregressive modeling for realized volatility
- Adaptive realized hyperbolic GARCH process: stability and estimation
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- The contribution of intraday jumps to forecasting the density of returns
- Issues in the estimation of mis-specified models of fractionally integrated processes
- Volatility estimation and jump detection for drift-diffusion processes
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Volatility flocking by Cucker-Smale mechanism in financial markets
- Volatility regressions with fat tails
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
- Forecasting the volatility of crude oil futures using intraday data
- Trends in distributional characteristics: existence of global warming
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Estimating stochastic volatility: the rough side to equity returns
- Nonstationarity-extended Whittle estimation with discontinuity: a correction
- Nonparametric spot volatility from options
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
- Large-scale portfolio allocation under transaction costs and model uncertainty
- Combining statistical intervals and market prices: the worst case state price distribution
- The risk return relationship: evidence from index returns and realised variances
- Improving forecasts with the co-range dynamic conditional correlation model
- Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Specification and structural break tests for additive models with applications to realized variance data
- Testing long memory based on a discretely observed process
- Vast volatility matrix estimation for high-frequency financial data
- Microstructure noise in the continuous case: the pre-averaging approach
- Realized stochastic volatility with general asymmetry and long memory
- 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
- Long-run comovements in East Asian stock market volatility
- Financial clustering in presence of dominant markets
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
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