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Spot volatility estimation using delta sequences
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Spot volatility estimation using delta sequences (2015)Spot volatility estimation using delta se…Discretization of Processes (2011)Discretization of ProcessesThreshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesThe Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Continuous Record Asymptotics for Rolling Sample Variance Estimators (1996)Continuous Record Asymptotics…Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps (2021)Volatility of volatility: Est…Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2017)Estimating the Spot Covariati…Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data (2015)Fourier Spot Volatility Estim…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Modeling financial contagion using mutually exciting jump processes (2015)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Jump-robust volatility estimation using nearest neighbor truncation (2012)The impact of sentiment and attention measures on stock market volatility (2019)Modeling Term Structures of Defaultable Bonds (1999)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)The Fine Structure of Asset Returns: An Empirical Investigation (2002)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2011Discretization of Processes486 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

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298 cited
  • 1996Continuous Record Asymptotics for Rolling Sample Variance Estimators287 cited
  • Cited by

    • 2017Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence55 cited
    • 2021Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps29 cited
    • 2015Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data27 cited