Estimating spot volatility with high-frequency financial data
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Cites work
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Cited in
(56)- Common price and volatility jumps in noisy high-frequency data
- Forecasting intraday volatility and value-at-risk with high-frequency data
- Edgeworth corrections for spot volatility estimator
- Nonparametric estimation of jump diffusion models
- Volatility coupling
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- Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation
- Estimation of stochastic volatility models by nonparametric filtering
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- Volatility estimation based on high-frequency data
- High-frequency volatility of volatility estimation free from spot volatility estimates
- scientific article; zbMATH DE number 7338946 (Why is no real title available?)
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
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- Nonparametric filtering of the realized spot volatility: a kernel-based approach
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- Nonparametric estimation of large spot volatility matrices for high-frequency financial data
- On the use of high frequency measures of volatility in MIDAS regressions
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