Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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Publication:494402
DOI10.1016/J.JECONOM.2015.02.008zbMATH Open1337.62329OpenAlexW3123351111MaRDI QIDQ494402FDOQ494402
Andrew J. Patton, Kevin Sheppard, Lily Y. Liu
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:4a291238-52f0-44d2-9002-9047482df6e8
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (36)
- Anticipating extreme losses using score-driven shape filters
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- From zero to hero: realized partial (co)variances
- 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
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Equity clusters through the lens of realized semicorrelations
- Disentangling and quantifying market participant volatility contributions
- Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
- Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
- Jumps and oil futures volatility forecasting: a new insight
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
- Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
- Non-parametric news impact curve: a variational approach
- Title not available (Why is that?)
- Predicting stock realized variance based on an asymmetric robust regression approach
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Multiple measures realized GARCH models
- Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
- Realized Quantiles*
- The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
- Emergence of correlations between securities at short time scales
- TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
- High-frequency-based volatility model with network structure
- Volatility analysis for the GARCH-Itô model with option data
- A Hausman test for the presence of market microstructure noise in high frequency data
- The contribution of intraday jumps to forecasting the density of returns
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
- A nonparametric test of a strong leverage hypothesis
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Forecasting the volatility of crude oil futures using intraday data
- High frequency-based quantile forecast and combination: an application to oil market
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