SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
16 references·7 citing·33 second hop
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (2008)Sampling Returns for Realized Variance Ca…Parametric and Nonparametric Volatility Measurement (2010)Parametric and Nonparametric …Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Separating microstructure noise from volatility (2005)Separating microstructure noi…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…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…The distribution of realized stock return volatility (2001)The distribution of realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Market Microstructure Theory. (1996)Market Microstructure Theory.High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)High-Frequency Data and Volat…Market microstructure theory (1995)Market microstructure theoryChaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Expected stock returns and volatility (1987)Expected stock returns and vo…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility (2017)When Moving-Average Models Me…VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2010)VOLATILITY AND COVARIATION ES…Subsampling high frequency data (2010)Subsampling high frequency da…Realized volatility with stochastic sampling (2010)Realized volatility with stoc…Quadratic Variation by Markov Chains (2009)Quadratic Variation by Markov…Central limit theorem for the realized volatility based on tick time sampling (2009)Central limit theorem for the…Realized Volatility and Long Memory: An Overview (2008)Realized Volatility and Long …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Market microstructure: A survey (2000)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2001The distribution of realized stock return volatility2,264 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
  • 1995Market microstructure theory1,305 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited

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

  • 2010Parametric and Nonparametric Volatility Measurement520 cited
  • Cited by

    • 2010VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS77 cited
    • 2017When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility67 cited
    • 2010Realized volatility with stochastic sampling49 cited
    • 2008Realized Volatility and Long Memory: An Overview41 cited
    • 2009Quadratic Variation by Markov Chains40 cited
    • 2010Subsampling high frequency data37 cited
    • 2009Central limit theorem for the realized volatility based on tick time sampling32 cited