Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Microstructure noise, realized volatility, and optimal sampling

11 references·16 citing·41 second hop

FromToDepth

this work references cited by second hop

References

1999Continuous Martingales and Brownian Motion6,200 cited
2012The Econometrics of Financial Markets5,875 cited
2003Modeling and Forecasting Realized Volatility3,887 cited
2001The distribution of realized stock return volatility2,264 cited
2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
2000Market microstructure: A survey1,133 cited
2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
1983Introduction to Stochastic Integration454 cited
2002A theoretical comparison between integrated and realized volatility281 cited
2006Long Memory and the Relation Between Implied and Realized Volatility126 cited

Cited by

2005Realized volatility and transactions85 cited
2010Localized Realized Volatility Modeling81 cited
2007Are volatility estimators robust with respect to modeling assumptions?77 cited
2006Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

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

73 cited

2007Construction and Interpretation of Model-Free Implied Volatility72 cited

2017When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility67 cited

2010Edgeworth expansions for realized volatility and related estimators67 cited

2021Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?66 cited

2010Long memory and nonlinearities in realized volatility: A Markov switching approach59 cited

2013Realized stochastic volatility with leverage and long memory44 cited

2008A two-stage realized volatility approach to estimation of diffusion processes with discrete data41 cited

2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise40 cited

2010Surprising information, the MDH, and the relationship between volatility and trading volume37 cited

2010Stochastic volatility models37 cited

2010Bayesian analysis of structural credit risk models with microstructure noises36 cited

2023Information loss in volatility measurement with flat price trading33 cited