SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Continuous Time Analysis of Fleeting Discrete Price Moves
16 references·0 citing·49 second hopsampled
Continuous Time Analysis of Fleeting Discrete Price Moves (2016)Continuous Time Analysis of Fleeting Disc…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…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…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 …Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (2003)Dynamics of Trade-by-Trade Pr…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…A Model of the Federal Funds Rate Target (2002)A Model of the Federal Funds …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)High-Frequency Data and Volat…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…The econometrics of ultra-high frequency data /The econometrics of ultra-hig…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Empirical exchange rate models of the seventies (1983)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Parametric and Nonparametric Volatility Measurement (2010)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)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Limit Theorems for Stochastic Processes (2003)Brownian Motion and Stochastic Calculus (2007)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Time and the Price Impact of a Trade (2000)New frontiers for arch models (2002)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)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2002
A Model of the Federal Funds Rate Target
262 cited
  • 2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models254 cited
  • Cited by

    No citing works inside the corpus for this window.