Estimating the persistence and the autocorrelation function of a time series that is measured with error
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Cites work
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- Consistent ranking of volatility models
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- 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
- Estimating Long Memory in Volatility
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimating the fractionally integrated process in the presence of measurement errors
- Estimation of fractional integration in the presence of data noise
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
- Evaluating Volatility and Correlation Forecasts
- scientific article; zbMATH DE number 2230348 (Why is no real title available?)
- Identification and estimation of local average derivatives in non-separable models without monotonicity
- Long memory relationships and the aggregation of dynamic models
- Modeling and Forecasting Realized Volatility
- Nonlinear log-periodogram regression for perturbed fractional processes
- Realized volatility forecasting and market microstructure noise
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Temporal aggregation of volatility models
- Testing for a unit root in the presence of moving average errors
- Testing Models of Low-Frequency Variability
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(22)- The effect of additive outliers on a fractional unit root test
- It only takes a few moments to hedge options
- Volatility regressions with fat tails
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Estimation of error correction model with measurement errors
- Estimation of long memory in integrated variance
- Inference from high-frequency data: a subsampling approach
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Data-based ranking of realised volatility estimators
- Exploiting the errors: a simple approach for improved volatility forecasting
- Latent local-to-unity models
- A GMM approach to estimate the roughness of stochastic volatility
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- New robust inference for predictive regressions
- Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
- Assessing volatility persistence in fractional Heston models with self-exciting jumps
- To be or not to be: roughness or long memory in volatility?
- Integrated variance estimation for assets traded in multiple venues
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