A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
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A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
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Cites work
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
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Cited in
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- Heterogenous market hypothesis evaluation using multipower variation volatility
- A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Long-range dependence and rational Gaussian noise
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- The contribution of intraday jumps to forecasting the density of returns
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- Do high-frequency measures of volatility improve forecasts of return distributions?
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- Managing risk with a realized copula parameter
- Chasing volatility. A persistent multiplicative error model with jumps
- Realised quantile-based estimation of the integrated variance
- The impact of jumps and leverage in forecasting covolatility
- Investment rankings via an objective measure of riskiness: a case study
- A new volatility model: GQARCH‐ItÔ model
- Scaling and multiscaling in financial series: a simple model
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Probabilistic forecasts of volatility and its risk premia
- Threshold bipower variation and the impact of jumps on volatility forecasting
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