Modelling and forecasting noisy realized volatility
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Publication:429642
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Cites work
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Cited in
(29)- Predictive density estimators for daily volatility based on the use of realized measures
- Modeling and Forecasting Realized Volatility
- Specification and structural break tests for additive models with applications to realized variance data
- 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
- Market calibration under a long memory stochastic volatility model
- Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
- Forecasting volatility in the presence of model instability
- Realized stochastic volatility with general asymmetry and long memory
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Volatility analysis for the GARCH-Itô model with option data
- Integrated variance forecasting: model based vs. reduced form
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
- Forecasting realized volatility: a review
- Realized stochastic volatility with leverage and long memory
- Exploiting the errors: a simple approach for improved volatility forecasting
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Realized Volatility: A Review
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
- scientific article; zbMATH DE number 5666937 (Why is no real title available?)
- Out of sample forecasts of quadratic variation
- A CUSUM test for a long memory heterogeneous autoregressive model
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
- Infinite-order, long-memory heterogeneous autoregressive models
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