Volatility forecasting and microstructure noise
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Cites work
- scientific article; zbMATH DE number 3537122 (Why is no real title available?)
- A Tale of Two Time Scales
- ARCH models as diffusion approximations
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- High frequency market microstructure noise estimates and liquidity measures
- MIDAS Regressions: Further Results and New Directions
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Moment–Based Estimation of Stochastic Volatility Models
- Out of sample forecasts of quadratic variation
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
Cited in
(34)- Predictive density estimators for daily volatility based on the use of realized measures
- Forecasting return volatility in the presence of microstructure noise
- Microstructure Noise, Realized Variance, and Optimal Sampling
- MIDAS Regressions: Further Results and New Directions
- How often to sample a continuous-time process in the presence of market microstructure noise
- Modelling and forecasting noisy realized volatility
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Estimation of quarticity with high-frequency data
- Combining statistical intervals and market prices: the worst case state price distribution
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- On the correlation structure of microstructure noise: a financial economic approach
- Do high-frequency measures of volatility improve forecasts of return distributions?
- Data-based ranking of realised volatility estimators
- Integrated variance forecasting: model based vs. reduced form
- Forecasting realized volatility: a review
- Realized stochastic volatility with leverage and long memory
- Exploiting the errors: a simple approach for improved volatility forecasting
- Fourier volatility forecasting with high-frequency data and microstructure noise
- Realized Volatility: A Review
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Using High-Frequency Data in Dynamic Portfolio Choice
- Ultra high frequency volatility estimation with dependent microstructure noise
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Noise reduced realized volatility: a Kalman filter approach
- Zero-intelligence realized variance estimation.
- Out of sample forecasts of quadratic variation
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
- A continuous and efficient fundamental price on the discrete order book grid
- Realized volatility forecasting and option pricing
- On estimating market microstructure noise variance
- A generalized heterogeneous autoregressive model using market information
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