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by Federico M. Bandi , Jeffrey R. Russell
Citations:48 - 5 self

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122 Realized variance and market microstructure noise – P R Hansen, A Lunde
175 2002): “Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models – O Barndorff-Nielsen, N Shephard
150 Power and Bipower Variation with Stochastic Volatility and Jumps – Ole E. Barndorff-Nielsen, neil Sheperd - 2003
112 The distribution of realized stock return volatility – Torben G. Andersen , Tim Bollerslev , Francis X. Diebold , Heiko Ebens - 2001
268 Modeling and Forecasting Realized Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - 2002
110 A tale of two time scales: determining integrated volatility with noisy high-frequency data – Lan Zhang, Per A. Mykland, Yacine Aït-Sahalia - 2003
85 Efficient estimation of stochastic volatility using noisy observations: A multiscale approach – Lan Zhang - 2004
68 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise – O E Barndorff-Nielsen, P R Hansen, A Lunde, N Shephard - 2008
108 The Distribution of Exchange Rate Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys - 1999
47 Great realizations – T G Andersen, T Bollerslev, F X Diebold, P Labys - 2000
106 Asymptotic error distributions for the Euler method for stochastic differential equations – Jean Jacod, Philip Protter - 1998
69 A Theoretical Comparison between Integrated and Realized Volatility – N Meddahi - 2002
79 Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility – Torben G. Andersen , Tim Bollerslev , Francis X. Diebold - 2006
88 How often to sample a continuous-time process in the presence of market microstructure noise – Yacine Aït-sahalia, Per A. Mykland, Lan Zhang - 2005
90 Alternative models of stock price dynamics – M Chernov, A R Gallant, E Ghysels, G Tauchen - 2003
269 Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts – Torben G. Andersen, Tim Bollerslev
60 A simple long memory model of realized volatility, http://www.core.ucl.ac.be/~laurent/SL_fichiers/LSE/pdf/A%20Simple%20Long%20Memory%20Model%20of%20Re alized%20Volatility.pdf – F Corsi - 2004
64 Separating microstructure noise from volatility – Federico M. Bandi, Jeffrey R. Russell - 2006
32 Variation, jumps, market frictions and high frequency data in financial econometrics – Ole E. Barndorff-nielsen, Neil Shephard - 2005