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Realized Correlation Tick-By-Tick
16 references·1 citing·41 second hop
Realized Correlation Tick-By-Tick (2007)Realized Correlation Tick-By-TickStock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …A Tale of Two Time Scales (2005)A Tale of Two Time ScalesModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (2010)A General Multivariate Thresh…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)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)A Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 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
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2001Liquidity Risk and Expected Stock Returns

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738 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
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    • 2010A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations27 cited