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The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
16 references·9 citing·37 second hop
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References

  • 2001Discrete Choice Methods with Simulation7,780 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1994Multivariate Stochastic Variance Models1,367 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
  • 2005A Test for Superior Predictive Ability

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1,227 cited
  • 19965 Stochastic volatility1,189 cited
  • Cited by

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    • 2017Realised variance forecasting under Box-Cox transformations34 cited
    • 2020High-frequency jump tests: Which test should we use?34 cited
    • 2017Realized stochastic volatility with general asymmetry and long memory30 cited
    • 2018Forecasting realized variance measures using time-varying coefficient models29 cited
    • 2015Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models26 cited