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ArticleRealised quantile-based estimation of the integrated variance

Roel C. A. Oomen2010

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Articlegreen2010

Realised quantile-based estimation of the integrated variance

Roel C. A. Oomen · Mark Podolskij

27 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1976Option pricing when underlying stock returns are discontinuous 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2003The Impact of Jumps in Volatility and Returns

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2012Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

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Year2010

Typearticle

Published2010-05-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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openalex_workW1546466182

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