Realized Volatility: A Review
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Publication:3539862
DOI10.1080/07474930701853509zbMATH Open1148.62089OpenAlexW2090059250MaRDI QIDQ3539862FDOQ3539862
Authors: Michael McAleer, Marcelo C. Medeiros 
Publication date: 19 November 2008
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930701853509
Recommendations
forecastingfinancerealized volatilityriskcontinuous time processesquadratic variationfinancial econometricshigh frequency datatrading rules
Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35)
Cites Work
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- Realized Volatility
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- Incorporating realized quarticity into a realized stochastic volatility model
- Modelling and forecasting noisy realized volatility
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- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
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- Jump-robust volatility estimation using nearest neighbor truncation
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- Estimation of Long Memory in Integrated Variance
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- Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities?
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- Are volatility estimators robust with respect to modeling assumptions?
- The effect of intraday periodicity on realized volatility measures
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