A multiple indicators model for volatility using intra-daily data

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Cited In (78)

Testing weak exogeneity in multiplicative error models
A Stochastic Volatility Model With Realized Measures for Option Pricing
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
Quantile Estimation of Regression Models with GARCH-X Errors
A multiplicative thinning‐based integer‐valued GARCH model
Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
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Heterogenous market hypothesis evaluation using multipower variation volatility
カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
Volatility-Related Exchange Traded Assets: An Econometric Investigation
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High-frequency-based volatility model with network structure
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Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
A neural network enhanced volatility component model
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Statistical inference for unified Garch-Itô models with high-frequency financial data
Stock volatility predictability in bull and bear markets
Volatility analysis with realized GARCH-Itô models
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
Generalized autoregressive moving average models with GARCH errors
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
On classifying the effects of policy announcements on volatility
Diagnostic checking of the vector multiplicative error model
Modeling returns volatility: realized GARCH incorporating realized risk measure
Financial clustering in presence of dominant markets
A minimum distance lack-of-fit test in a Markovian multiplicative error model
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Bootstrap based probability forecasting in multiplicative error models
Realized stochastic volatility with general asymmetry and long memory
Capturing the Spillover Effect With Multiplicative Error Models
Dynamics of variance risk premia: a new model for disentangling the price of risk
Simple factor realized stochastic volatility models
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
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Intra-daily information of range-based volatility for MEM-GARCH
Managing risk with a realized copula parameter
Forecasting risk via realized GARCH, incorporating the realized range
A Bayesian semiparametric vector multiplicative error model
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GMM estimation of a realized stochastic volatility model: A Monte Carlo study
Accounting for missing values in score-driven time-varying parameter models
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
A class of minimum distance estimators in Markovian multiplicative error models
A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
Incorporating overnight and intraday returns into multivariate GARCH volatility models
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A simple joint model for returns, volatility and volatility of volatility
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Chasing volatility. A persistent multiplicative error model with jumps
Predicting volatility: getting the most out of return data sampled at different frequencies
Modelling dynamic portfolio risk using risk drivers of elliptical processes
Volatility clustering in the presence of time-varying model parameters
LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
High frequency-based quantile forecast and combination: an application to oil market
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Uncertainty shocks of Trump election in an interval model of stock market
Fitting a two phase threshold multiplicative error model

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