Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
From MaRDI portal
(Redirected from Publication:494402)
Recommendations
- Sharper asset ranking from total drawdown durations
- Continuous-time mean-variance portfolios: a comparison
- Five years of phase space dynamics of the Standard \& Poor's 500
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Measuring excess-predictability of asset returns and market efficiency over time
- Mean-variance versus expected utility in dynamic investment analysis
Cites work
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- A Reality Check for Data Snooping
- A Tale of Two Time Scales
- ARMA representation of integrated and realized variances
- Automatic Block-Length Selection for the Dependent Bootstrap
- Bipower-type estimation in a noisy diffusion setting
- Consistent ranking of volatility models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Data-based ranking of realised volatility estimators
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Editorial: Realized volatility
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Evaluating Volatility and Correlation Forecasts
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- High frequency market microstructure noise estimates and liquidity measures
- Jump-robust volatility estimation using nearest neighbor truncation
- Measuring volatility with the realized range
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Microstructure noise in the continuous case: the pre-averaging approach
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On the correlation structure of microstructure noise: a financial economic approach
- Realised quantile-based estimation of the integrated variance
- Realized kernels in practise : trades and quotes
- Realized range-based estimation of integrated variance
- Stepwise Multiple Testing as Formalized Data Snooping
- Subsampling realised kernels
- Tests of Conditional Predictive Ability
- The Distribution of Realized Exchange Rate Volatility
- The Model Confidence Set
- The Stationary Bootstrap
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Variation, jumps and high-frequency data in financial econometrics
- Volatility forecast comparison using imperfect volatility proxies
- Zero-intelligence realized variance estimation.
- xtscc
Cited in
(36)- Realized Quantiles*
- Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
- The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- A Hausman test for the presence of market microstructure noise in high frequency data
- Equity clusters through the lens of realized semicorrelations
- The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- Emergence of correlations between securities at short time scales
- Anticipating extreme losses using score-driven shape filters
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Forecasting the volatility of crude oil futures using intraday data
- TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
- Predicting stock realized variance based on an asymmetric robust regression approach
- High frequency-based quantile forecast and combination: an application to oil market
- The contribution of intraday jumps to forecasting the density of returns
- Volatility analysis for the GARCH-Itô model with option data
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
- Multiple measures realized GARCH models
- Disentangling and quantifying market participant volatility contributions
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- High-frequency-based volatility model with network structure
- Jumps and oil futures volatility forecasting: a new insight
- A nonparametric test of a strong leverage hypothesis
- From zero to hero: realized partial (co)variances
- Counterparty credit limits: the impact of a risk-mitigation measure on everyday trading
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
- Comparing and combining realized measure and implied volatility for volatility prediction
- Long memory, realized volatility and heterogeneous autoregressive models
- Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
- Non-parametric news impact curve: a variational approach
This page was built for publication: Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q494402)
