Realized volatility forecasting and market microstructure noise
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Cites work
- A Tale of Two Time Scales
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- 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
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
- Handbook of economic forecasting. Volume 1
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Modeling and Forecasting Realized Volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonlinear principal components and long-run implications of multivariate diffusions
- Out of sample forecasts of quadratic variation
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Predictive density estimators for daily volatility based on the use of realized measures
- Predictive Inference for Integrated Volatility
- Realized volatility forecasting and market microstructure noise
- The Distribution of Realized Exchange Rate Volatility
- Using High-Frequency Data in Dynamic Portfolio Choice
- Volatility forecast comparison using imperfect volatility proxies
- Volatility forecasting and microstructure noise
Cited in
(40)- MIDAS Regressions: Further Results and New Directions
- Forecasting realized volatility: a review
- Realized stochastic volatility with leverage and long memory
- On estimating market microstructure noise variance
- A continuous and efficient fundamental price on the discrete order book grid
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- The contribution of intraday jumps to forecasting the density of returns
- Forecasting the volatility of crude oil futures using intraday data
- High-frequency asymptotics for path-dependent functionals of Itô semimartingales
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Zero-intelligence realized variance estimation.
- Fuzzy risk adjusted performance measures: application to hedge funds
- Estimation of flexible fuzzy GARCH models for conditional density estimation
- Fourier volatility forecasting with high-frequency data and microstructure noise
- Out of sample forecasts of quadratic variation
- Realized volatility forecasting and option pricing
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Predictive density estimators for daily volatility based on the use of realized measures
- Noise reduced realized volatility: a Kalman filter approach
- Stationary bootstrapping realized volatility under market microstructure noise
- Modelling and forecasting noisy realized volatility
- Forecasting return volatility in the presence of microstructure noise
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Comparing and combining realized measure and implied volatility for volatility prediction
- Inference from high-frequency data: a subsampling approach
- Data-based ranking of realised volatility estimators
- Exploiting the errors: a simple approach for improved volatility forecasting
- Integrated volatility and round-off error
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Semi-parametric single-index predictive regression models with cointegrated regressors
- Volatility analysis in high-frequency financial data
- S\&P 500 microstructure noise components: empirical inferences from futures and ETF prices
- On the use of high frequency measures of volatility in MIDAS regressions
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Integrated variance forecasting: model based vs. reduced form
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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