ARMA representation of integrated and realized variances
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Publication:4458360
DOI10.1111/1368-423X.T01-1-00112zbMATH Open1036.62085OpenAlexW2098060360MaRDI QIDQ4458360FDOQ4458360
Publication date: 17 March 2004
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00112
weak identificationintegrated variancerealized varianceleverage effectsARMA representationtwo-factor modelone-factor modelSR-SARV models
Cites Work
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Cited In (18)
- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
- A GMM approach to estimate the roughness of stochastic volatility
- Monitoring disruptions in financial markets
- Predictive density estimators for daily volatility based on the use of realized measures
- Volatility regressions with fat tails
- Integrated variance forecasting: model based vs. reduced form
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Simple estimators and inference for higher-order stochastic volatility models
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Aggregation and marginalization of GARCH processes: some further results
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Data-based ranking of realised volatility estimators
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Forecasting volatility with support vector machine-based GARCH model
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- International market links and volatility transmission
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