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Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling
16 references·2 citing·48 second hopsampled
Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling (2004)Properties of realized variance for a pur…Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Modelling security market eve…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Separating microstructure noise from volatility (2005)Separating microstructure noi…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (2003)Dynamics of Trade-by-Trade Pr…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A theoretical comparison between integrated and realized volatility (2002)A theoretical comparison betw…Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Order Flow, Transaction Clock…The valuation of options for alternative stochastic processes (1976)The valuation of options for …A Compound Events Model for Security Prices (1967)A Compound Events Model for S…Estimation of a microfounded herding model on German survey expectations (2007)Estimation of a microfounded …Pricing multivariate currency options with copulas (2006)Pricing multivariate currency…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Predictive regressions (1999)Empirical exchange rate models of the nineties: Are any fit to survive? (2005)How do business and financial cycles interact? (2012)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Finance and Economics Discussion Series (2022)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 2000Order Flow, Transaction Clock, and Normality of Asset Returns420 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited
  • 2002A theoretical comparison between integrated and realized volatility

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281 cited
  • 2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models254 cited
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    • 2006Pricing multivariate currency options with copulas41 cited
    • 2007Estimation of a microfounded herding model on German survey expectations20 cited