On measuring volatility of diffusion processes with high frequency data
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Cites work
- ARCH models as diffusion approximations
- An econometric analysis of nonsynchronous trading
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Closing the GARCH gap: Continuous time GARCH modeling
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Fourier series method for measurement of multivariate volatilities
- Temporal aggregation of volatility models
Cited in
(20)- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- Realized Volatility: A Review
- Is volatility lognormal? Evidence from Italian futures
- Computation of volatility in stochastic volatility models with high frequency data
- Consistent ranking of volatility models
- Optimal design of Fourier estimator in the presence of microstructure noise
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
- On the use of high frequency measures of volatility in MIDAS regressions
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- A CLOSER LOOK AT THE EPPS EFFECT
- Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications
- Fourier series method for measurement of multivariate volatilities
- Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
- Empirical analysis of estimates of realized volatility in financial risk control problems
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Aging in financial market
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