Simple factor realized stochastic volatility models
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Cites work
- A multiple indicators model for volatility using intra-daily data
- An alternative derivation of the Kalman filter using the quasi-likelihood method
- Automatic Lag Selection in Covariance Matrix Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Elicitability and backtesting: perspectives for banking regulation
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- Estimating variance from high, low and closing prices
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Exploiting the errors: a simple approach for improved volatility forecasting
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Higher order elicitability and Osband's principle
- On a measure of lack of fit in time series models
- Realized kernels in practise : trades and quotes
- The Model Confidence Set
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Time series analysis by state space methods.
- Volatility forecast comparison using imperfect volatility proxies
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