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Integrated volatility measuring from unevenly sampled observations
6 references·7 citing·48 second hop
Integrated volatility measuring from unevenly sampled observations (2004)Integrated volatility measuring from unev…The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions (2003)The Effects of Random and Dis…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…On measuring volatility of diffusion processes with high frequency data (2002)On measuring volatility of di…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The effect of novel coronavirus pandemic on tourism share prices (2020)The effect of novel coronavir…Do ‘Shariah’ indices surpass conventional indices? A study on Dhaka Stock Exchange (2020)Do ‘Shariah’ indices surpass …Monetary model of exchange rate determination under floating and non-floating regimes (2018)Monetary model of exchange ra…Spot volatility estimation using delta sequences (2015)Spot volatility estimation us…Testing hypothetical bias with a real choice experiment using respondents' own money (2013)Testing hypothetical bias wit…Vertical product differentiation, minimum quality standards, and international trade (2012)Vertical product differentiat…Dynamics of intraday serial correlation in the Italian futures market (2005)Dynamics of intraday serial c…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Limit Theorems for Stochastic Processes (2003)Stochastic Integration and Differential Equations (2005)Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data (2015)Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2017)Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps (2021)Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseStochastic Analysis (1997)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Choosing the Best Volatility Models: The Model Confidence Set Approach* (2003)Econophysics review: I. 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this work references cited by second hop

References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data315 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 2003The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions133 cited
  • 2002On measuring volatility of diffusion processes with high frequency data64 cited

Cited by

  • 2013Testing hypothetical bias with a real choice experiment using respondents' own money93 cited
  • 2020The effect of novel coronavirus pandemic on tourism share prices70 cited
  • 2015Spot volatility estimation using delta sequences55 cited
  • 2005Dynamics of intraday serial correlation in the Italian futures market34 cited
  • 2020Do ‘Shariah’ indices surpass conventional indices? A study on Dhaka Stock Exchange26 cited
  • 2012Vertical product differentiation, minimum quality standards, and international trade15 cited
  • 2018Monetary model of exchange rate determination under floating and non-floating regimes13 cited

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