Modeling and Forecasting Realized Volatility
From MaRDI portal
Publication:5472963
DOI10.1111/1468-0262.00418zbMath1142.91712OpenAlexW3121364726MaRDI QIDQ5472963
Tim Bollerslev, Torben G. Andersen, Paul Labys, Francis X. Diebold
Publication date: 19 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.297.1371
Related Items (only showing first 100 items - show all)
Intraday Data vs Daily Data to Forecast Volatility in Financial Markets ⋮ Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis ⋮ Latent local-to-unity models ⋮ Uniform convergence rates for spot volatility estimation ⋮ Predicting stock realized variance based on an asymmetric robust regression approach ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ Bootstrapping Laplace transforms of volatility ⋮ On statistical indistinguishability of complete and incomplete discrete time market models ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Score-driven models for realized volatility ⋮ Local linear regression with nonparametrically generated covariates for weakly dependent data ⋮ A GMM approach to estimate the roughness of stochastic volatility ⋮ Parametric estimation of long memory in factor models ⋮ Semiparametric estimation of latent variable asset pricing models ⋮ Volatility models for stylized facts of high‐frequency financial data ⋮ A nonparametric predictive regression model using partitioning estimators based on Taylor expansions ⋮ Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects ⋮ Unrestricted, restricted, and regularized models for forecasting multivariate volatility ⋮ The tipping point of electricity price attention: when a problem becomes a problem ⋮ A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures ⋮ Coupled GARCH(1,1) model ⋮ Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model ⋮ High-dimensional estimation of quadratic variation based on penalized realized variance ⋮ On the convergence of two types of estimators of quadratic variation ⋮ On Testing Equal Conditional Predictive Ability Under Measurement Error ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Overnight GARCH-Itô Volatility Models ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Algorithm 963 ⋮ EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES ⋮ Relative forecasting performance of volatility models: Monte Carlo evidence ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ Volatility estimation from short time series of stock prices ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Bayesian semiparametric modeling of realized covariance matrices ⋮ A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE ⋮ A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ Targeting market neutrality ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering ⋮ Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution ⋮ The influence of intraday seasonality on volatility transmission pattern ⋮ Forecasting realised volatility using ARFIMA and HAR models ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Jump detection with wavelets for high-frequency financial time series ⋮ Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise ⋮ Data cloning estimation for asymmetric stochastic volatility models ⋮ GARCH Model Estimation Using Estimated Quadratic Variation ⋮ On a spiked model for large volatility matrix estimation from noisy high-frequency data ⋮ Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) ⋮ Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models ⋮ Quantum spatial-periodic harmonic model for daily price-limited stock markets ⋮ No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications ⋮ Measuring volatility with the realized range ⋮ Analysis of high dimensional multivariate stochastic volatility models ⋮ Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ The effect of additive outliers on a fractional unit root test ⋮ Inference theory for volatility functional dependencies ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Realized stochastic volatility with leverage and long memory ⋮ Extended stochastic volatility models incorporating realised measures ⋮ What does financial volatility tell us about macroeconomic fluctuations? ⋮ The multi-state latent factor intensity model for credit rating transitions ⋮ Long-run risk-return trade-offs ⋮ Monitoring disruptions in financial markets ⋮ Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment ⋮ Predicting volatility: getting the most out of return data sampled at different frequencies ⋮ Consistent ranking of volatility models ⋮ Realized volatility of index constituent stocks in Hong Kong ⋮ Time series properties of ARCH processes with persistent covariates ⋮ Out of sample forecasts of quadratic variation ⋮ Realized volatility forecasting and option pricing ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ Predictive density estimators for daily volatility based on the use of realized measures ⋮ A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects ⋮ Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Asymptotic theory for large volatility matrix estimation based on high-frequency financial data ⋮ Asymptotics for random functions moderated by dependent noise ⋮ On the consistency of MLE in finite mixture models of exponential families ⋮ Econometric analysis of high frequency data ⋮ Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility ⋮ Fractional integration versus level shifts: the case of realized asset correlations ⋮ The asymptotics of the integrated self-weighted cross volatility estimator ⋮ The dynamics of stochastic volatility: evidence from underlying and options markets ⋮ Empirical option pricing: A retrospection ⋮ On generalised asymmetric stochastic volatility models ⋮ Modelling and forecasting noisy realized volatility ⋮ Antieigenvalue analysis for continuum mechanics, economics, and number theory ⋮ Recent results in the theory and applications of CARMA processes ⋮ A Gaussian calculus for inference from high frequency data ⋮ Implied and realized volatility: empirical model selection ⋮ The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model ⋮ Large deviations of realized volatility ⋮ VAR for VaR: measuring tail dependence using multivariate regression quantiles ⋮ Positive semidefinite integrated covariance estimation, factorizations and asynchronicity ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
This page was built for publication: Modeling and Forecasting Realized Volatility
