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Integration of CARMA processes and spot volatility modelling
16 references·0 citing·43 second hopsampled
Integration of CARMA processes and spot volatility modelling (2012)Integration of CARMA processes and spot v…The econometrics of high-frequency data (2012)The econometrics of high-freq…Realized Volatility (2009)Realized VolatilityExistence and uniqueness of stationary Lévy-driven CARMA processes (2009)Existence and uniqueness of s…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…Bootstrapping Realized Volatility (2008)Bootstrapping Realized Volati…Multivariate CARMA processes (2006)Multivariate CARMA processesA Tale of Two Time Scales (2005)A Tale of Two Time ScalesRepresentations of continuous-time ARMA processes (2004)Representations of continuous…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…A theoretical comparison between integrated and realized volatility (2002)A theoretical comparison betw…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Lévy-Driven Carma Processes (2001)Lévy-Driven Carma ProcessesA 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)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)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries (2004)Realized Beta: Persistence and Predictability (2005)Realized volatility forecasting and market microstructure noise (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)A Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)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)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Introduction to Time Series and Forecasting (1996)Non-Gaussian OU based models and some of their uses in financial economics (2000)Introduction to Time Series and Forecasting (2002)Fractional Lévy processes with an application to long memory moving average processes (2006)Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise (2009)Stochastic Integration and Differential Equations : A New Approach (2014)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2002A theoretical comparison between integrated and realized volatility281 cited
  • 2001Lévy-Driven Carma Processes199 cited
  • 2008Bootstrapping Realized Volatility155 cited
  • 2009Realized Volatility124 cited
  • 2004Representations of continuous-time ARMA processes99 cited
  • 2009Existence and uniqueness of stationary Lévy-driven CARMA processes95 cited
  • 2006Multivariate CARMA processes95 cited

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2012
The econometrics of high-frequency data
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