A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
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Publication:302183
DOI10.1016/J.JECONOM.2008.12.001zbMATH Open1429.62461OpenAlexW3121471611MaRDI QIDQ302183FDOQ302183
Uta Kretschmer, Christian Pigorsch, Tim Bollerslev, George Tauchen
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.001
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Cited In (25)
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
- Realised quantile-based estimation of the integrated variance
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Diagnostic checking of the vector multiplicative error model
- Heterogenous market hypothesis evaluation using multipower variation volatility
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Likelihood-based scoring rules for comparing density forecasts in tails
- The impact of jumps and leverage in forecasting covolatility
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Managing risk with a realized copula parameter
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Scaling and Multiscaling in Financial Series: A Simple Model
- Investment Rankings via an Objective Measure of Riskiness: A Case Study
- Modelling systemic price cojumps with Hawkes factor models
- A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA
- The contribution of intraday jumps to forecasting the density of returns
- Long-range dependence and rational Gaussian noise
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- A new volatility model: GQARCH‐ItÔ model
- A simple joint model for returns, volatility and volatility of volatility
- Chasing volatility. A persistent multiplicative error model with jumps
- Probabilistic forecasts of volatility and its risk premia
- Threshold bipower variation and the impact of jumps on volatility forecasting
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