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Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets
16 references·1 citing·35 second hop
Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets (2002)Return-Based and Range-Based (Co)Variance…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…The relation between implied and realized volatility (1998)The relation between implied …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Improving forecasts with the co-range dynamic conditional correlation model (2019)Improving forecasts with the …Multivariate GARCH models: a surveyAutoregressive 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)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)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)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

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649 cited
  • 2002Estimating quadratic variation using realized variance618 cited
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    • 2019Improving forecasts with the co-range dynamic conditional correlation model26 cited