Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

DOI10.1111/J.1467-937X.2006.00390.XMaRDI QIDQ5488492zbMATH OpenOpenAlexFDO

Authors Valentina Corradi, Walter Distaso

Publication date 22 September 2006

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2006.00390.x

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cited in

(29)

• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
• Asymptotic inference about predictive accuracy using high frequency data
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Efficient estimation of drift parameters in stochastic volatility models
• A nonparametric test of a strong leverage hypothesis
• Computation of volatility in stochastic volatility models with high frequency data
• Estimation of stochastic volatility models by nonparametric filtering
• Inference theory for volatility functional dependencies
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Predictive density estimators for daily volatility based on the use of realized measures
• Realized Volatility: A Review
• Inference for the jump part of quadratic variation of Itô semimartingales
• Modelling and forecasting noisy realized volatility
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Testing the local volatility assumption: a statistical approach
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Data-based ranking of realised volatility estimators
• GMM estimation of a realized stochastic volatility model: a Monte Carlo study
• A GMM approach to estimate the roughness of stochastic volatility
• DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
• Multi-horizon test for market frictions
• Testing for anticipated changes in spot volatility at event times
• Identifying the number of latent factors of stochastic volatility models
• Cross-sectional dependence in idiosyncratic volatility
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility
• Edgeworth expansions for realized volatility and related estimators
• Realized Laplace transforms for estimation of jump diffusive volatility models
• Variation-based tests for volatility misspecification

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