Realised quantile-based estimation of the integrated variance
From MaRDI portal
(Redirected from Publication:736690)
Recommendations
- Realized range-based estimation of integrated variance
- Moving Average-Based Estimators of Integrated Variance
- High-dimensional estimation of quadratic variation based on penalized realized variance
- Estimation of integrated squared density derivatives
- On using the jackknife to estimate quantile variance
- Improved estimation of finite population variance using quartiles
- \({L_p}\) quantile regression with realized measure
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- scientific article; zbMATH DE number 3354425 (Why is no real title available?)
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A note on the central limit theorem for bipower variation of general functions
- Alternative models for stock price dynamics.
- Analytical value-at-risk with jumps and credit risk
- Asset pricing for general processes
- Asymptotic Statistics
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Jump-robust volatility estimation using nearest neighbor truncation
- Limit theorems for multipower variation in the presence of jumps
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Microstructure noise in the continuous case: the pre-averaging approach
- Moving Average-Based Estimators of Integrated Variance
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- On Some Useful "Inefficient" Statistics
- On mixing and stability of limit theorems
- Option pricing when underlying stock returns are discontinuous
- Power Variation and Time Change
- Power and multipower variation: inference for high frequency data
- Realised quantile-based estimation of the integrated variance
- Realized beta: persistence and predictability
- Testing for jumps in a discretely observed process
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- The Distribution of Realized Exchange Rate Volatility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Ultra high frequency volatility estimation with dependent microstructure noise
- Zero-intelligence realized variance estimation.
Cited in
(35)- A Gaussian calculus for inference from high frequency data
- Jumps beyond the realms of cricket: India's performance in one day internationals and stock market movements
- Volatility estimation based on high-frequency data
- Realised quantile-based estimation of the integrated variance
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Realised volatility and parametric estimation of Heston SDEs
- Realized range-based estimation of integrated variance
- The benefits of bagging for forecast models of realized volatility
- Subsampling high frequency data
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- The effect of infrequent trading on detecting price jumps
- Volatility estimation and jump testing via realized information variation
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Measuring the relevance of the microstructure noise in financial data
- Jump-robust volatility estimation using nearest neighbor truncation
- Second-order properties of thresholded realized power variations of FJA additive processes
- The relationship between the volatility of returns and the number of jumps in financial markets
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- The observed asymptotic variance: hard edges, and a regression approach
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Jump robust two time scale covariance estimation and realized volatility budgets
- \({L_p}\) quantile regression with realized measure
- Testing for jumps with robust spot volatility estimators
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Detecting price jumps in the presence of market microstructure noise
- Large deviations of realized volatility
- Inference from high-frequency data: a subsampling approach
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Three-point approach for estimating integrated volatility and integrated covariance
This page was built for publication: Realised quantile-based estimation of the integrated variance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q736690)
