Realized volatility forecasting and option pricing
DOI10.1016/J.JECONOM.2008.09.002zbMATH Open1429.62458OpenAlexW2157505837MaRDI QIDQ299252FDOQ299252
Authors: Federico M. Bandi, Jeffrey R. Russell, Chen Yang 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.002
Recommendations
- Forecasting realized volatility: a review
- Modeling and Forecasting Realized Volatility
- Pricing options on realized variance
- Volatility estimation from observed option prices
- Option and Futures Evaluation With Deterministic Volatilities1
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Semi-Parametric Forecasting of Realized Volatility
- Real Options and Risk Dynamics
- Stochastic Volatility Models and Option Prices
option pricingmicrostructure noiserealized variancevolatility forecastingeconomic metricsrealized kernelstwo-scale estimator
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Out of sample forecasts of quadratic variation
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Variation, jumps and high-frequency data in financial econometrics
- Realized volatility forecasting and option pricing
- Predictive Inference for Integrated Volatility
- Realized Volatility: A Review
- Using High-Frequency Data in Dynamic Portfolio Choice
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Cited In (15)
- Volatility forecasts and the profitability of automated trading strategies
- Structural estimation of real options models
- Zero-intelligence realized variance estimation.
- Real Options and Risk Dynamics
- Realized volatility forecasting and option pricing
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
- Assessing the quality of volatility estimators via option pricing
- Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise
- Evaluating volatility forecasts in option pricing in the context of a simulated options market
- Identifying the volatility of underlying assets from option prices
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
- Forecasting the volatility of crude oil futures using intraday data
- Modeling and Forecasting Realized Volatility
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Fourier volatility forecasting with high-frequency data and microstructure noise
This page was built for publication: Realized volatility forecasting and option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299252)
